Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions (Q2932770)
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scientific article; zbMATH DE number 6378756
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| English | Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions |
scientific article; zbMATH DE number 6378756 |
Statements
Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions (English)
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9 December 2014
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asymptotic normality
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conditional tail expectation
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extreme-value statistics
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heavy-tailed distributions
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kernel estimator
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risk measures
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0.8560917973518372
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0.8490548133850098
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0.8362180590629578
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0.8327397108078003
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0.8284404873847961
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