Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme (Q5378122): Difference between revisions
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| Property / DOI: 10.1111/rssb.12069 / rank | |||
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| Property / author: Laurens De Haan / rank | |||
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| Property / author: Laurens De Haan / rank | |||
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| Property / DOI: 10.1111/RSSB.12069 / rank | |||
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Latest revision as of 16:49, 30 December 2024
scientific article; zbMATH DE number 7064942
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme |
scientific article; zbMATH DE number 7064942 |
Statements
Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme (English)
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12 June 2019
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asymptotic normality
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conditional tail expectation
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extreme values
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