Decomposes the difference between an empirical quantile at an estimated projection direction and the population quantile at a reference direction into three additive terms D1, D2, and D3 for heavy-tailed data.
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On Stability and Decomposition of Sample Quantiles under Heavy-Tailed Distributions
Decomposes the difference between an empirical quantile at an estimated projection direction and the population quantile at a reference direction into three additive terms D1, D2, and D3 for heavy-tailed data.