An Expectile Weak Law of Large Numbers

∗†
Collin S. Philipps

December 14, 2022

Abstract

Generalizing the Weak Law of Large Numbers for the sample mean, we present necessary
and sucient conditions for convergence in probability of a sample expectile to a limiting
sequence or to a constant. Convergence (in probability) of expectile functions to a limiting
sequence is uniform whenever it occurs. And, though the mean or another expectile may
converge to a constant in special cases where the distribution lacks a nite rst moment, it is
impossible for any two or more distinct expectiles to converge to constants unless a nite rst
moment exists. In that case, the Strong Law applies and convergence will be almost sure.

Keywords: Expectile Regression, Quantile Regression

JEL Codes: C01, C21, C46

1 Introduction
Expectiles are a type of generalized quantile: values that range from the inmum to supremum

of a distribution and can be used to characterise that distribution's center, its tails, or its entire
∗ Address correspondence to Collin S. Philipps, Department of Economics and Geospatial Sciences, 2354 Fairchild

Drive, Suite 6k-110, United States Air Force Academy, CO 80840; collin.philipps@afacademy.af.edu.
† The views expressed in this article, book, or presentation are those of the author and do not necessarily reect

the ocial policy or position of the United States Air Force Academy, the Air Force, the Department of Defense, or
the U.S. Government. PA# USAFA-DF-2022-657.

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shape. Because they can be used to explain the tails of distributions and to model rare events,

expectiles have become important in quantitative nance (Ziegel, 2016; Daouia et al., 2020) and

social sciences. The class of expectiles contains the arithmetic mean and each expectile can be

interpreted as an expected value (Philipps, 2021). Accordingly, expectiles are the simplest and

most popular generalized quantile. However, expectiles have only recently become important in

applied work. Much remains unknown about expectiles and how they t into classical theory.

Recently, Philipps (2022) showed that Kolmogorov's Strong Law of Large Numbers applies

uniformly to all expectiles. That is, the expectiles of a random sample converge almost surely,

uniformly, to the true population expectiles if and only if the variables' common distribution has

a nite rst moment. Thus, the uniform almost sure convergence of expectile functions for distri-

butions with a nite rst moment is directly comparable to the uniform almost sure convergence

of quantile functions for distributions with density. And, inverse expectile functions (which are

CDF's) converge uniformly, almost surely, as in the Glivenko-Cantelli theorem but only when the

underlying distribution has a nite rst moment.

The obvious open question, then, is whether a weak law of large numbers holds for all expectiles.

In this article, we present a weak law of large numbers with necessary and sucient conditions for

the expectiles of a random sample to converge in probability to limiting sequences. Importantly,

these conditions are identical without regard to which expectile is considered: expectiles other than

the mean are no more or less demanding than the mean itself. Expectiles of a random sample may

converge in probability to a limiting sequence in cases where the common distribution lacks a nite

rst moment and, thus, the strong law is not applicable. But, in that environment, we show that

only one expectile can converge to a constant. Thus, textbook examples where the sample mean

converges to a constant only in probability (not almost surely) are rightly understood as a balancing

act where the right and left tail integrals of the distribution diverge at perfectly balanced rates. In

examples where the right and left tail integrals diverge at rates dened by some ratio other than

one-to-one, a dierent expectile will converge to a constant.

Expectiles are the only coherent and elicitable risk measure (Ziegel, 2016) and are thus a critically

important tool in quantitative nance. But heavy-tailed distributions are also especially important

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and common in nance (see Rachev, 2003; Ibragimov et al., 2015) and do not always accommodate

the use of statistics whose asymptotic behavior hinges on the Strong Law or existence of a nite

rst moment. Our results show that coherent and elicitable risk measures are not entirely out of the

question in heavy-tailed applications: sample expectiles converge in probability to an identiable

sequence in some cases where the distribution lacks a nite rst moment.

The article is arranged as follows. The next section introduces expectiles and the Weak Law.

Section 3 provides our new results with brief context. Section 4 contains proofs of our new results

and Section 5 presents examples focusing on the special cases where the Weak Law applies but the

Strong Law does not. The nal section concludes.

2 Background
Expectiles were introduced by Newey and Powell (1987) as an alternate means to characterize the

full shape of a distribution. At rst blush, expectiles and expectile regression are comparable to

quantiles and quantile regression except that expectiles have an interpretation as a conditional

moment or expected value. See Philipps (2022) for a more rigorous comparison.

For any τ ∈ (0, 1), the τ th expectile of a distribution F, which we denote µτ , is dened as the

minimizer of an asymmetric least squares criterion

Z
µτ (F ) := arg min (x − θ)2 |τ − I(x < θ)|dF (2.1)
θ

or by the rst-order condition from that problem, which is a moment condition:

Z ∞ Z µτ
τ |x − µτ |dF (x) = (1 − τ ) |x − µτ |dF (x). (2.2)
µτ −∞

From equation 2.2, the τ th expectile is interpreted as the value that would be the mean of X

if observations X ≥ µτ were to occur τ /(1 − τ ) times more often than they do. And, naturally,

the standard arithmetic mean is the τ = .5 expectile. When the expectiles of F are expressed as a

function of τ , say EF (τ ) : (0, 1) 7→ R, such expectile functions are continously monotone, increasing,

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and invertible mappings from the unit interval to the convex hull of the support of the random

variable X∼F (Holzmann and Klar, 2016; Philipps, 2021). Because expectile functions are smooth

and these averages employ the full information of a sample, expectiles and expectile regression

methods enjoy improved eciency and smoothness relative to quantile regression (Waltrup et al.,

2015) even in the special cases where quantiles and expectiles are the same set of regression lines.

Other advantages of expectiles include robustness to the quantile crossing problem and tractable

asymptotics when the data generating process lacks density (Philipps, 2021).

The τ th µ̂τ,n , is dened as in equation 2.1 or 2.2 with respect to the

expectile of a sample, say

−1
Pn
empirical distribution Fn (x) = n i=1 I(Xi ≤ x). Both denitions evaluated with Fn (x) simplify

to a standard formula for weighted averages

n
!−1 n
X X
µ̂τ,n := µτ (Fn ) = wi wi Xi (2.3)
i=1 i=1

where wi = τ for any observation Xi ≥ µ̂τ and wi = 1 − τ otherwise. As before, it follows that

the sample mean X̄ is the τ = .5th expectile, while other expectiles are spread across the left and

right tails and approach the minimum (or maximum) as τ approaches 0 (or 1). The asymptotic

behavior of expectiles has been studied for cases where distributions have a certain number of nite

moments (Newey and Powell, 1987; Gneiting, 2011; Holzmann and Klar, 2016; Philipps, 2022). In

contrast, this article is primarily concerned with the performance of sample expectiles drawn from

more general distributions where only a weak law of large numbers may apply.

A Weak Law of Large Numbers is any theorem stating that, under some specied conditions,

the sample mean will converge in probability to a limiting sequence µn :

( n
 )
 
 −1 X
Pr n Xi − µn  >  → 0. (2.4)

 
i=1

There are many such theorems. Famously, Bernoulli (1713) found that the mean of i.i.d. binary

random variables converges in probability to the true mean. Chebyshev (1846) gave a more general

proof of convergence in probability under the assumption that each random variable had two nite

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moments EXn2 < ∞, which notably does not require identical distributions, and Khinchine (1929)

proved that existence of a rst moment E|Xn | < ∞ is a sucient condition for convergence of a

random sample's mean to the true mean. Kolmogorov (1933) strengthened Khinchine's result to

almost sure convergencea strong law of large numbersand showed that E|Xn | < ∞ is a necessary

and sucient condition for that result. See Seneta (2013) and Fischer (2011) for thorough discussion

of related historical developments in probability. See Philipps (2022) for a Strong Law of Large

Numbers that applies to all expectiles uniformly.

In the following section, we will present necessary and sucient conditions for weak convergence

of sample expectilesa generalized Weak Law of Large Numbers for expectilesalong with corollary

results.

3 New Results
We begin with necessary and sucient conditions for an expectile of a random sample to converge

in probability to a limiting sequence. The convergence of each sample expectile µ̂τ,n , τ ∈ (0, 1)
R∞
hinges on the same condition, namely that
n
xdF (±x) should converge to zero as n → ∞.

Theorem 1 (Generalized Weak Law of Large Numbers for Expectiles). Let Xi , i = 1, ..., n be an
i.i.d. sample according to F . There exists some sequence µτ,n such that

Pr {|µ̂τ,n − µτ,n | > } → 0 (3.1)

for every  > 0 if and only if

lim n[1 − F (n) + F (−n)] = 0. (3.2)

n→∞

As we will show in the next section, each τ ∈ (0, 1) sample expectile will converge in probability

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to a sequence of n−trimmed expectiles

Z n
µτ,n (F ) := arg min (x − θ)2 |τ − I(x < θ)|dF. (3.3)
θ −n

Other sequences will also satisfy Theorem 1, as we will show in Lemma 6. But, each of these

alternate sequences converges asymptotically to µτ,n when equation 3.2 holds. Next, we remark

that the weak convergence of expectile functions for any random sample is uniform whenever it

occurs.

Corollary 2 (Uniform Weak Law of Large Numbers for Expectiles). Let Xi , i = 1, ..., n be an i.i.d.
sample according to F . The sample expectile function EFn (τ ) : (0, 1) 7→ R converges uniformly in
probability to a sequence EF,n (τ ),

p
sup |EFn (τ ) − EF,n (τ )| → 0 (3.4)
τ ∈(0,1)

if and only if
lim n[1 − F (n) + F (−n)] = 0. (3.5)
n→∞

This follows immediately from the result in Theorem 1 and the fact that expectile functions

are continuous and monotone increasing (Holzmann and Klar, 2016; Philipps, 2021). The sequence

isEF,n (τ ) := µτ,n (F ), pointwise, and pointwise convergence of a continuous function provides uni-

form convergence. However, this diers from the uniform convergence in the Expectile Strong Law

of Large Numbers, where EFn (τ ) always converges to a xed EF (τ ).

For any distribution where E|X| < ∞, the Expectile Strong Law of Large Numbers (Philipps,

2022) will apply and convergence of µ̂τ,n to the distribution's true τ th expectile will be almost

sure. But the Weak law applies in a more general class of distributions that may lack a nite rst

moment. In that case, convergence to a limiting sequence µτ,n does not imply that each sample

expectile should converge to a constant. Instead, only one sample expectileif anywill converge to

a constant unless the distribution's rst moment exists.

Theorem 3. Let Xi , i = 1, ..., n be an i.i.d. sample according to F . For any distinct τ1 , τ2 ∈ (0, 1),

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both µ̂τ1 ,n , µ̂τ2 ,n converge in probability to constants µτ1 , µτ2 if and only if E|X| < ∞. Then,

a.s.
sup |EFn (τ ) − EF (τ )| → 0. (3.6)
τ ∈(0,1)

That is, the sample expectiles µ̂τ,n converge almost surely uniformly to the true population expectiles
µτ , for all τ ∈ (0, 1).

The last result underscores the fact that almost all expectiles will diverge if the distribution

lacks a rst moment. Special cases where one expectile converges in probability (but not almost

surely) to a constant can be explained as cases where the right and left tail integrals of xdF (x) are

divergent with rates of divergence that balance precisely. We will provide an example in Section 5.

We have given necessary and sucient conditions for convergence in probability which cannot

be improved further in the i.i.d. case. Philipps (2022) has given necessary and sucient conditions

for almost sure convergence which cannot be improved further in the i.i.d. case. So, we conclude

our ndings with the following paradigm.

Corollary 4. Let Xi , i = 1, ..., n be an i.i.d. sample according to F . The distribution F belongs

to one of three categories:

1. E|X| < ∞ and µ̂τ,n → µτ (F ) uniformly for all τ ∈ (0, 1), or

a.s.

p
2. Not (1), but limn→∞ n[1−F (n)+F (−n)] = 0 and µ̂τ,n → µτ,n (F ) uniformly for all τ ∈ (0, 1),
or

3. Neither (1) nor (2); µ̂τ,n does not converge in probability to any limiting sequence.

4 Proofs
In this section, we provide proofs of Theorems 1 and 3. Expectiles are dened by the ratio of their

right and left partial moments, so our proofs focus on the same. Dene the random variable Zi as

Zi = (Xi − θ)I(Xi ≥ θ) (4.1)

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with Zi0 its counterpart right-truncated at c>0



Z

i if Zi ≤ c
Zi0 = (4.2)

0
 if Zi > c.

If the sample average of Zi converges in probability, and the same for the left partial moment,

both sides of equation 2.2 will also converge and the root of that equation, which is µ̂τ,n , will

converge by Lemma 5.10 in van der Vaart (2000).

The proof of Theorem 1 will rely on several lemmas given below.

4.1 Lemmas

Lemma 5. Let X1 , ..., Xn be a random sample with distribution F . Then

(  )
n
  1
Zi − E(Zi ) >  ≤ 2 Var(Zi0 ) + n Pr {Zi > c}
 −1 X 0 
Pr n (4.3)

i=1
 n

for any x > 0.

Proof.
R θ+c
Remark that the truncated variable Zi0 is bounded with nite expectation E(Zi0 ) = θ
|x−

θ|dF (x). We have

(  ) (  ) ( n )
 n   n  n
 −1 X 0   −1 X 0 0 
X X
0
Pr n Zi − E(Zi ) >  ≤ Pr n Zi − E(Zi ) >  + Pr Zi 6= Zi . (4.4)
   
i=1 i=1 i=1 i=1

Because the left can only occur if one of the events on the right occurs. Now, independence of

Zi and Chebyshev's inequality give us

( n n
)
X X
Pr Zi 6= Zi0 ≤ n Pr {Zi > c}
i=1 i=1
( n
 )

 −1 X 0
 1
Pr n Zi − E(Zi ) >  ≤ 2 Var(Zi0 ),
0 

i=1
 n

so the lemma follows.

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Lemma 6. Let X1 , ..., Xn be a random sample with distribution F . If n[1 − F (n) + F (−n)] → 0,
then the n−trimmed expectiles about a, b converge as n → ∞

Z a+n Z b+n
2
arg min (x − θ) |τ − I(x < θ)|dF → arg min (x − θ)2 |τ − I(x < θ)|dF (4.5)
θ a−n θ b−n

for any a, b ∈ R.

Proof. Use the rst order conditions. Assume without loss of generality that a < b. We have

Z 
 a+n Z b+n 
lim  |x − θ|dF (x) − |x − θ|dF (x)
 
n→∞  θ θ 
Z b+n
= lim |x − θ|dF (x)
n→∞ a+n
Z b+n
≤ lim |b + n − θ|dF (x)
a+n

≤ lim ||b + n − θ|[1 − F (a + n)]|

+ lim ||b + n − θ|[1 − F (b + n)]|

=0

Rθ Rθ
and, similarly,
a−n
|x − θ|dF (x) → b−n
|x − θ|dF (x) for any θ ∈ R. Then

Z a+n Z a
τ |x − θ|dF (x) − (1 − τ ) |x − θ|dF (x)
a a−n
Z b+n Z b
→τ |x − θ|dF (x) − (1 − τ ) |x − θ|dF (x)
b b−n

and, by monotone continuity, the root of each converges to the same.

Lemma 7. If X1 , ..., Xn are distributed as i.i.d F , then

1. For any t > 0,

2 Pr {|X1 | > t/2} ≥ Pr {|X1 − X2 | > t} (4.6)

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 2. For any t > 0,

1
Pr {|Xi + ... + Xn | ≥ t} ≥ (1 − exp{−n[1 − F (t) + F (−t)]}) (4.7)
2

3. For any p ≥ 0 such that Pr{Xi ≤ a} ≥ p and Pr{Xi ≥ −a} ≥ p,

Pr {|X1 − X2 | > t} ≥ p Pr {|X1 | > t + a} (4.8)

These are equations V.5.6, V.5.10, V.5.7 in Feller (1971); proofs can be found in the same.

4.2 Proof of Theorem 1

To prove Theorem 1, we rst show that equation 3.2 is a sucient condition for convergence in

probability. For the truncated variable Zi0 , suppose the cuto value is c = n. Then, from Lemma

5, we have
1

( n
 ) Z θ+n

 −1 X 0 
 1
Pr n Zi − E(Zi ) >  ≤ 2 |x − θ|2 dF (x) + n[1 − F (n)]

i=1
 n θ
Z θ+n
1
= 22 |x − θ|[1 − F (x)]dx + n[1 − F (θ + n)] − n[1 − F (n)].
n θ

Each term converges to zero as n → ∞. The limit of the last integral can be veried using

l'Hôpital's rule. This proves that the sample's right partial moment about θ converges in probability

to its population counterpart truncated at θ + n:

Z ∞ Z θ+n
p
|x − θ|dFn (x) − |x − θ|dF (x) → 0, (4.9)
θ θ
1 Integrating by parts,
Z θ+n θ+n
Z θ+n
|x − θ|2 dF (x) = − |x − θ|2 (1 − F (x)) θ

+2 |x − θ|[1 − F (x)]dx
θ θ
Z θ+n
= −n2 (1 − F (θ + n)) + 2 |x − θ|[1 − F (x)]dx.
θ

10

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 as n → ∞, if and only if n[1 − F (n)] → 0. Identical arguments for a random variable Zi =

|X − θ|I(Xi < θ) will prove that the left integrals do the same,

Z θ Z θ
p
|x − θ|dFn (x) − |x − θ|dF (x) → 0, (4.10)
−∞ θ−n

if and only if nF (−n) → 0. Both the right and left integrals are continuous in θ, so
2

Z ∞ Z θ
τ |x − θ|dFn (x) − (1 − τ ) |x − θ|dFn (x) (4.12)
θ −∞
Z θ+n Z θ
p
→τ |x − θ|dF (x) − (1 − τ ) |x − θ|dF (x) (4.13)
θ θ−n

uniformly for all θ ∈ R. The root of the continuous and monotone equation on the left converges

to the root of the equation on the right by Lemma 5.10 in van der Vaart (2000).
3 Then, by applying

Lemma 6,

p
µ̂τ,n − µτ,n (F ) → 0. (4.15)

and we have proven that n[1 − F (n) + F (−n)] → 0 is a sucient condition as stated in Theorem

1. To prove that the same condition is a necessary one, assume that there exists a sequence µn

such that equation 3.1 holds. It follows from the representation of µ̂τ,n in equation 2.3 that

n
!−1 n R
X X |τ − I(x < µτ,n )|(x − µτ,n )dFn p
wi wi (Xi − µτ,n ) = R →0 (4.16)
i=1 i=1
|τ − I(x < µτ,n )|dFn
2 In the special case where τ = .5, equation 4.12 simplies to
Z θ+n Z θ+n
p
(x − θ)dFn → (x − θ)dF (4.11)
θ−n θ−n

for any θ. It follows that the arithmetic mean converges in probability to the n−trimmed mean µn := −n
n
xdF .
R
3 Equation 4.12 together with Lemma 5.10 from van der Vaart (2000), together with our Lemma 6, implies that
Z ∞ Z θ+n
p
arg min (x − θ)2 |τ − I(x < θ)|dFn → arg min (x − θ)2 |τ − I(x < θ)|dF
θ −∞ θ θ−n
Z a+n
p
→ arg min (x − θ)2 |τ − I(x < θ)|dF. (4.14)
θ a−n

Thus, µτ,n dened in equation 3.3 can be replaced with the expression in 4.14, using any a ∈ R, without impacting
the statement of Theorem 1, Corollary 2, or Corollary 4.

11

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 The random variables Yi = |τ − I(Xi < µτ,n )|Xi are independent and identically distributed.

Applying each of 1,2,3 in Lemma 7,

 Pn 
Yi i=1
2 Pr | Pn − µτ,n | > τ n/2
|τ − I(Xi < µτ,n )|
( i=1 Pn P2n )
i=1 Yi i=n+1 Yi
≥ Pr | Pn − Pn | > τn
i=1 |τ − I(Xi < µτ,n )| i=1 |τ − I(Xi < µτ,n )|
1
≥ [1 − exp[−n Pr{|Yi − Yj | > τ n}]]
2 
1 1
≥ 1 − exp[− n Pr{|Yi | > τ n + median(Y )}] .
2 2

Equation 4.16 implies that the rst term converges to zero. But the last expression converges to

zero only if n Pr{|Yi | > τ n} = n[1 − F (n)] converges to zero. Make the same argument for the left

tail to show that nF (−n) converges to zero, so n[1 − F (n) + F (−n)] → 0 is a necessary condition.

4.3 Proof of Theorem 3

Our previous proof showed that the right and left partial moments converge in probability to limiting

sequences if and only if [1 − F (n) + F (−n)]n → 0. So, if any sample expectile µ̂τ,n converges in

probability to a constant µτ , it follows that

Rn
µ
|x − µτ |dF p 1−τ
lim R µττ → . (4.17)
n→∞
−n
|x − µτ |dF τ

This can occur only if both integrals converge to constants, i.e. E|X| < ∞, or if both integrals

diverge at comparable rates as n becomes large. Convergence occurs only if n[1−F (n)] and nF (−n)

converge to zero, which requires ndF (n) → 0 and ndF (−n) → 0. In the case where the integrals

diverge at comparable rates, apply l'Hôpital's rule and

Rn
µ
|x − µτ |dF (n − µτ )dF (n) ndF (n)
lim R µττ = lim = lim . (4.18)
n→∞
−n
|x − µτ |dF n→∞ (µτ − n)dF (−n) n→∞ −ndF (−n)

The same expression holds regardless of τ. But this means that the limit can only take one

12

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 1−τ
value
τ ∈ R. So, if equation 4.17 holds for more than one τ ∈ (0, 1), we have a contradiction so

the integrals equation 4.17 must converge to constants, meaning that E|X| < ∞ exists. Then, the

Philipps's (2022) Expectile Strong Law of Large Numbers applies and convergence is almost sure.

5 Examples
Our examples make use of a Fréchet distribution, which satises conditions for the weak law or

strong law depending on its parameters. Extreme values (maxima and minima) of random variables

are important values in nance, computer science, and elsewhere: see Gilli et al. (2006); Sier et al.

(2017) for applied examples. The Fréchet distribution is one of the possible limiting distributions

for extreme values and is applicable in cases where the underlying sample distribution has heavy

tails. Similarly, it is a limiting law for other types of rare events (Rachev, 2003, p. 654). See

Gumbel (1958) for a general overview of extreme value theory.

The Fréchet distribution is dened for X ≥ 0,λ > 0 and can be parameterized as

F (x) = exp −x−λ

Fréchet(λ):

dF (x) = λx−λ−1 exp −x−λ dx.

It is a standard exercise to show that E|X| < ∞ if λ > 1. Indeed, the Fréchet distribution has

a nite k th moment only if λ > k. To determine whether this distribution satises the necessary

and sucient condition for the weak law in equation 3.2, show that

1 − exp −x−λ


lim x[1 − F (x)] = lim
x→∞ x→∞ 1/x
−λx−λ−1 exp −x−λ


= lim
x→∞ −1/x2

= λ lim x1−λ exp −x−λ

x→∞


0 if λ ≥ 1

= (5.1)

∞ if λ < 1


13

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 using L'Hôpital's rule in the last step. Thus, the special case λ=1 satises conditions for our

Expectile Weak Law of Large Numbers but does not have a nite rst moment and thus does not

satisfy conditions for the Expectile Strong Law of Large Numbers (Philipps, 2022). In section 5.1,

we show that the expectiles of X ∼ Fréchet(1) converge in probability to sequences µτ,n , all of

which diverge to ∞. In section 5.2, we introduce a transformed version of X whose αth expectile

converges in probability to zero while all others converge to sequences that tend towards positive

or negative innity.

5.1 An example where µτ,n → ∞ for all τ ∈ (0, 1)

Consider a pairwise independent sample Xi ∼ Fréchet(λ). In equation 5.1 we have shown that the

Fréchet distribution satises conditions for Theorem 1 when λ ≥ 1. Then, say that x−λ = z for

some nonnegative r.v. z.

n Z n
−1
X p
λx−λ exp −x−λ dx


n Xi → µ.5,n = (5.2)
i=1 0
Z n−λ
= z −1/λ e−z dz
0
1 −λ
= γ(1 − , n ). (5.3)
λ

whenever λ ≥ 1. Here, the function γ(1 − λ1 , n−λ ) is Prym's incomplete gamma function which

has been studied in detail elsewhere (Alzer, 1997; Jameson, 2016). More generally, the τ th expectile

of this a Fréchet sample converges to a sequence that can be dened recursively;

Z n −1 Z n
p
µ̂τ,n → µτ,n = |τ − I(x < µτ,n )|dF (x) |τ − I(x < µτ,n )|xdF (x)
0 0
1 −λ 1 −λ
(1 − 2τ )γ(1 − λ , µτ,n ) + τ γ(1 − λ , n )
= −λ

.
(1 − 2τ ) exp −µτ,n + τ exp (−n ) −λ

This sequence tends towards ∞ for all τ ∈ (0, 1) when λ=1 and the term γ(1 − λ1 , n−1 ) in the

numerator dominates.
4 In any case where λ > 1,equation 5.2 converges asymptotically to Γ(1 − λ1 )
4 For λ = 1, lim −1 ) = ∞.
n→∞ γ(0, n

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and the τ th expectile, as above, converges to

Z n −1 Z n
a.s.
µ̂τ,n → µτ,n = |τ − I(x < µτ,n )|dF (x) |τ − I(x < µτ,n )|xdF (x)
0 0

a.s. (1 − 2τ )γ(1 − λ1 , µ−λ 1

τ,n ) + τ Γ(1 − λ )
→ .
(1 − 2τ ) exp −µ−λ


−λ )
τ,n + τ exp (−n

In that case, with λ > 1, we have γ(1 − λ1 , µ−λ 1

τ,n ) < Γ(1 − λ ) so it is clear that µ̂τ,n converges

to a constant for every τ ∈ (0, 1). But, as stated in Theorem 3, this can only occur in cases where

E|X| < ∞.

5.2 An example where µτ,n → 0 for one τ ∈ (0, 1)

Next, we consider the case where the rst moment does not exist but one expectile converges to

a constant. Working again with the Fréchet distribution from the previous example, we mirror

X ∼ Fréchet(λ) about the origin:



−X
 w.p. α
Y = (5.4)

X
 w.p. 1 − α.

1−α
Then the density of the right tail is exactly
α times the density of the left tail. If α = .5,

observe that the n-trimmed mean is zero

Z n
µ.5,n = arg min (y − θ)2 dP
θ −n
Z n Z n
= .5 xdF (x) + .5 −xdF (x)
0 0

= 0.

p
It follows that the sample mean converges in probability to zero, X̄ → 0, even in the case where

λ=1 and the Fréchet distribution lacks a nite mean. For the case α 6= .5, we have the n-trimmed

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expectile dened by
Z n
µτ,n = arg min (x − θ)2 |τ − I(x < θ)|dP. (5.5)
θ −n

But, from the rst-order condition,

Z n Z n
τ (1 − α) xdF (x) + (1 − τ )α −xdF (x) = 0. (5.6)
0 0

Thus, the τ th n-trimmed expectile is zero if τ = α. So, by Theorem 1, the sample's αth expectile

converges to zero

p
µ̂α,n → 0. (5.7)

For any τ > α, the τ th sample expectile diverges to +∞ and the τ <α expectiles diverge to

−∞.

6 Conclusions
In this article, we have shown that a generalized weak law of large numbers applies to all expectiles

uniformly. Notably, convergence in probability of any one expectile hinges on the same necessary and

sucient conditions as convergence for all other expectiles, including the mean. Thus, the limiting

behavior of the sample's entire expectile function generalizes the limiting behavior of its mean even

in those cases where the true data generating process lacks a nite rst moment. This opens the

door to using expectileswhich are by far the most important generalized quantile currently in

usein heavy-tailed distributions where Strong Law asymptotics cannot be applied.

Complementing the Expectile Strong Law of Philipps (2022), our new results should make

the intuition behind the weak law clearer than it has been in the past. For i.i.d. samples, all

distributions fall into one of three categories: (1) distributions with a nite rst moment, where

the Strong Law applies and expectile functions converge almost surely uniformly (2) distributions
R∞
without a nite rst moment but whose tail integrals
n
xdF converge to zero with n, such that

expectile functions converge in probability uniformly and (3) those distributions where expectile

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functions do not converge at all. In that classic special case where the mean or other expectile

converges only in probability to a constant, we observe that the right and left tail integrals are

balanced at just the right ratio to allow such convergence. This can only occur for one expectile, if

it occurs at all.

Expectiles are the only coherent and elicitable risk measure. Thus, our results capture the

limiting behavior of these risk measures in those heavy-tailed distributions found in quantitative

nance where strong law asymptotics may not apply. We have given necessary conditions for

whether such a risk measure can converge in probability to any limiting sequence. Others may

wish to consider conditions where weak asymptotics might apply to other risk measures. Similarly,

others may wish to study the limiting behavior of expectiles in other environments important to

nance, such as monotone capacities and fuzzy probability. Strong Laws for the mean in those

environments have been studied only recently and weak laws for those environments remain an

open topic. Strong Law and Weak Law results for expectiles in the i.i.d. setting are now complete,

but much remains to be done.

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