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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