Bayesian CV@R/super-quantile regression

DOI10.1080/02664763.2018.1450363MaRDI QIDQ5036539zbMATH OpenOpenAlexFDO

Authors Mike G. Tsionas, Marwan Izzeldin

Publication date 23 February 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://eprints.lancs.ac.uk/id/eprint/124204/1/SuperQuantile_Regression.pdf

zbMATH Keywords

Bayesian analysisrisk measuresparticle filteringCV@Rsuper-quantile regression

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Recommendations

• Superquantile/CVaR risk measures: second-order theory
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Cites work

• scientific article; zbMATH DE number 1538094 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A sequential particle filter method for static models
• Adaptive sequential posterior simulators for massively parallel computing environments
• Asymptotic consistency of risk functionals
• Asymptotically efficient estimation of the conditional expected shortfall
• Bayesian quantile inference
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Conditional value-at-risk and average value-at-risk: estimation and asymptotics
• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
• Gibbs sampling methods for Bayesian quantile regression
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Nonparametric estimation of conditional VaR and expected shortfall
• On estimating the conditional expected shortfall
• Regression Quantiles
• Risk tuning with generalized linear regression
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
• The Bayesian Lasso

Cited in

(5)

• BP-CVaR: a novel model of estimating CVaR with back propagation algorithm
• CVaR (superquantile) norm: stochastic case
• Bregman superquantiles. Estimation methods and applications
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
• Combining Model and Test Data for Optimal Determination of Percentiles and Allowables: CVaR Regression Approach, Part II

Describes a project that uses

Uses Software

• CAViaR

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