Reduced-bias and partially reduced-bias mean-of-order-<i>p</i> value-at-risk estimation: a Monte-Carlo comparison and an application (Q5036848)
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scientific article; zbMATH DE number 7480154
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| English | Reduced-bias and partially reduced-bias mean-of-order-<i>p</i> value-at-risk estimation: a Monte-Carlo comparison and an application |
scientific article; zbMATH DE number 7480154 |
Statements
Reduced-bias and partially reduced-bias mean-of-order-<i>p</i> value-at-risk estimation: a Monte-Carlo comparison and an application (English)
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23 February 2022
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bias reduction
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heavy right-tails
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heuristic methods
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Monte-Carlo simulation
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semi-parametric estimation
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statistics of extremes
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value-at-risk estimation
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