Linear hypothesis testing in high-dimensional expected shortfall regression with heavy-tailed errors (Q6887472)
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scientific article; zbMATH DE number 8133657
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| English | Linear hypothesis testing in high-dimensional expected shortfall regression with heavy-tailed errors |
scientific article; zbMATH DE number 8133657 |
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Linear hypothesis testing in high-dimensional expected shortfall regression with heavy-tailed errors (English)
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9 December 2025
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conditional value-at-risk
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expected shortfall
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heavy-tailed data
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Huber loss
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quantile regression
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