Conditional marginal expected shortfall
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Publication:826003
DOI10.1007/S10687-020-00403-1zbMath1482.62105OpenAlexW2970871209MaRDI QIDQ826003
Jing Qin, Nguyen Khanh Le Ho, Yuri Goegebeur, Armelle Guillou
Publication date: 18 December 2021
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-020-00403-1
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)
Related Items (2)
Robust estimation of the conditional stable tail dependence function ⋮ Nonparametric estimation of conditional marginal excess moments
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