Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences (Q2306884): Difference between revisions

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Latest revision as of 22:15, 17 December 2024

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Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
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    Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences (English)
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    27 March 2020
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    nonparametric kernel estimator
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    conditional value-at-risk (CVaR)
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    \(\alpha\)-mixing sequence
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    Bahadur type expansion
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    uniformly asymptotic normality
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    MSE
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    optimal bandwidth
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