Estimation of the marginal expected shortfall under asymptotic independence

DOI10.1111/SJOS.12397zbMATH Open1444.62071arXiv1709.04285OpenAlexW2963664681MaRDI QIDQ5108972FDOQ5108972

Authors: Juan-Juan Cai, Eni Musta 

Publication date: 7 May 2020

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

Abstract: We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positive associated, which is modeled by the so-called tail dependent coefficient. We construct an estimator of the marginal expected shortfall which is shown to be asymptotically normal. The finite sample performance of the estimator is investigated in a small simulation study. The method is also applied to estimate the expected amount of rainfall at a weather station given that there is a once every 100 years rainfall at another weather station nearby.

Full work available at URL: https://arxiv.org/abs/1709.04285

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zbMATH Keywords

asymptotic independencemarginal expected shortfalltail dependence coefficient

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12)

Cited In (11)

• Estimation of the expected shortfall given an extreme component under conditional extreme value model
• Conditional marginal expected shortfall
• Modified marginal expected shortfall under asymptotic dependence
• Estimation of the marginal expected shortfall: the mean when a related variable is extreme
• Statistical inference for tail-based cumulative residual entropy
• Asymptotic results on marginal expected shortfalls for dependent risks
• Dependent conditional tail expectation for extreme levels
• Estimation of marginal excess moments for Weibull-type distributions
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• Asymptotics for Operational Risk Quantified with Expected Shortfall
• Empirical tail conditional allocation and its consistency under minimal assumptions

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