Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds

DOI10.1080/00949655.2021.1966791OpenAlexW3197255510MaRDI QIDQ3390465FDOQ3390465

Authors: Yi Wu, Wei Yu, Narayanaswamy Balakrishnan, Xuejun Wang 

Publication date: 24 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2021.1966791

zbMATH Keywords

expected shortfallnonparametric estimationBahadur-type representationBerry-Esséen bound

Mathematics Subject Classification ID

Statistics (62-XX) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20)

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Cited In (1)

• Nonparametric estimation of expected shortfall for \(\alpha \)-mixing financial losses

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