Estimation of the marginal expected shortfall under asymptotic independence

DOI10.1111/SJOS.12397MaRDI QIDQ5108972zbMATH OpenOpenAlexFDO

Authors Juan-Juan Cai, Eni Musta

Publication date 7 May 2020

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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• Asymptotics for Operational Risk Quantified with Expected Shortfall
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