Stochastic orders and measures of skewness and dispersion based on expectiles

TL;DR

This paper investigates expectile-based skewness measures, confirming they preserve the convex transformation order, and introduces variability orders based on interexpectile distances, along with analyzing their statistical properties.

Contribution

It proves that expectile-based skewness measures preserve the convex transformation order and introduces new variability orders based on interexpectile distances.

Findings

Expectile skewness measures preserve convex transformation order.

Weak expectile dispersive order is equivalent to dilation order.

Detailed analysis of empirical interexpectile ranges.

Abstract

Recently, expectile-based measures of skewness akin to well-known quantile-based skewness measures have been introduced, and it has been shown that these measures possess quite promising properties (Eberl and Klar, 2021, 2020). However, it remained unanswered whether they preserve the convex transformation order of van Zwet, which is sometimes seen as a basic requirement for a measure of skewness. It is one of the aims of the present work to answer this question in the affirmative. These measures of skewness are scaled using interexpectile distances. We introduce orders of variability based on these quantities and show that the so-called weak expectile dispersive order is equivalent to the dilation order. Further, we analyze the statistical properties of empirical interexpectile ranges in some detail.