Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions

DOI10.1111/sjos.12078zbMath1305.62199MaRDI QIDQ2932770

Laurent Gardes, Stéphane Girard, Jonathan El Methni

Publication date: 9 December 2014

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

Full work available at URL: https://doi.org/10.1111/sjos.12078

zbMATH Keywords

asymptotic normality; heavy-tailed distributions; kernel estimator; risk measures; extreme-value statistics; conditional tail expectation

Mathematics Subject Classification ID

62G07: Density estimation

62G20: Asymptotic properties of nonparametric inference

62P12: Applications of statistics to environmental and related topics

62G05: Nonparametric estimation

62G32: Statistics of extreme values; tail inference

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Uses Software

• QRM

Cites Work

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