Estimating quantiles with Linex loss function. Applications to VaR estimation

DOI10.4064/AM32-4-1MaRDI QIDQ5469349zbMATH OpenOpenAlexFDO

Authors Ryszard Zieliński

Publication date 18 May 2006

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am32-4-1

zbMATH Keywords

Linex lossnonparametric modelnormal distributionquantile estimationVaR (Value at Risk)

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05)

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(2)

• Estimation of an exponential quantile under a general loss and an alternative estimator under quadratic loss
• Shrinkage estimator of regression model under asymmetric loss

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