Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences (Q2306884): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences |
scientific article |
Statements
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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