Multivariate L-moments based on transports - Alexis Decurninge
Author: Alexis Decurninge
DOI URL: http://dx.doi.org/10.1007/978-3-319-25040-3_13
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Univariate L-moments are expressed as projections of the quantile function onto an orthogonal basis of univariate polynomials. We present multivariate versions of L-moments expressed as collections of orthogonal projections of a multivariate quantile function on a basis of multivariate polynomials. We propose to consider quantile functions defined as transports from the uniform distribution on [0; 1] d onto the distribution of interest and present some properties of the subsequent L-moments. The properties of estimated L-moments are illustrated for heavy-tailed distributions.