Published August 2, 2017
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A Simple Axiomatization of Quantiles on the Domain of Distribution Functions
- Creators
-
Chambers, Christopher P.
Abstract
In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to first order stochastic dominance, and upper semicontinuity. We show how to characterize the VAR in a similar manner.
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Additional details
- Eprint ID
- 79754
- Resolver ID
- CaltechAUTHORS:20170802-104836154
- Created
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2017-08-02Created from EPrint's datestamp field
- Updated
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2020-03-09Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 1246