Empirical Likelihood Intervals for Conditional Value-at-Risk in Heteroscedastic Regression Models

DOI10.1111/j.1467-9469.2011.00747.xzbMath1246.91063OpenAlexW2158449432MaRDI QIDQ2911698

Yun Gong, Zhouping Li, Liang Peng

Publication date: 1 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2011.00747.x

zbMATH Keywords

empirical likelihoodconditional value-at-risknon-parametric regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric tolerance and confidence regions (62G15)

Related Items

New non-parametric inferences for low-income proportions

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
• Unnamed Item
• Specification tests in nonparametric regression
• A goodness-of-fit test for parametric and semi-parametric models in multiresponse regression
• A review on empirical likelihood methods for regression
• Empirical likelihood ratio confidence regions
• Consistency and asymptotic normality of the estimated effective doses in bioassay
• Adaptive variance function estimation in heteroscedastic nonparametric regression
• Conditional variance estimation in heteroscedastic regression models
• Variance function estimation in multivariate nonparametric regression with fixed design
• Estimating the error distribution in nonparametric multiple regression with applications to model testing
• Empirical likelihood and general estimating equations
• Effect of mean on variance function estimation in nonparametric regression
• Empirical likelihood confidence intervals for local linear smoothers
• Non-parametric Estimation of the Residual Distribution
• EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS
• Non-Crossing Non-Parametric Estimates of Quantile Curves
• Empirical likelihood ratio confidence intervals for a single functional
• Kernel and Probit Estimates in Quantal Bioassay
• Efficient estimation of conditional variance functions in stochastic regression
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Parametric and nonparametric estimators of ED100α
• A Note on Nonparametric Estimation of the Effective Dose in Quantal Bioassay