By Andreas Hamel and Daniel Kostner

Set-valued quantiles for multivariate distributions with respect to a general convex cone are introduced which are based on a family of (univariate) distribution functions rather than on the joint distribution function. It is shown that these quantiles enjoy basically all the properties of univariate quantile functions. Relationships to families of... Show more

February 12, 2017

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Cone distribution functions and quantiles for multivariate random variables

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