English

Computing expectiles via fixed point iterations

Statistics Theory 2025-09-03 v1 Probability Statistics Theory

Abstract

Expectiles are statistical parameters which also provide a class of sublinear risk measures in finance. They are solutions of continuous optimization problems. The corresponding first order condition provides two different fixed point characterizations for expectiles, both of which can be utilized for computing them. Although especially the so-called two-sided version is already implemented and widely used, a general convergence proof appears to be new.

Keywords

Cite

@article{arxiv.2509.00408,
  title  = {Computing expectiles via fixed point iterations},
  author = {Thi Khanh Linh Ha and Andreas Heinrich Hamel and Daniel Kostner},
  journal= {arXiv preprint arXiv:2509.00408},
  year   = {2025}
}

Comments

12 pages, 3 figures

R2 v1 2026-07-01T05:13:21.501Z