Empirical tail conditional allocation and its consistency under minimal assumptions
DOI10.1007/S10463-021-00813-3zbMATH Open1497.62117OpenAlexW3215988264WikidataQ114691258 ScholiaQ114691258MaRDI QIDQ2086280FDOQ2086280
Authors: N. V. Gribkova, Jianxi Su, Ričardas Zitikis 
Publication date: 25 October 2022
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-021-00813-3
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Cited In (5)
- Estimating the VaR-induced Euler allocation rule
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
- Tail maximal dependence in bivariate models: estimation and applications
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