Nonparametric kernel estimation of expected shortfall under negatively associated sequences

DOI10.1080/03610926.2019.1584303MaRDI QIDQ5077216zbMATH OpenOpenAlexWikidataFDO

Authors Zhongde Luo, Haizhen Meng

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1584303

zbMATH Keywords

asymptotic propertiesBahadur type expansionexpected shortfallMSEnegatively associated sequencenonparametric kernel estimatoroptimal bandwidth

Mathematics Subject Classification ID

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

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Cited in

(1)

• Two-step kernel estimation of expected shortfall for strong mixing time series

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