Statistical Inference for Expectile‐based Risk Measures

DOI10.1111/sjos.12259zbMath1422.62241arXiv1601.05261OpenAlexW2599316554MaRDI QIDQ5738835

Henryk Zähle, Volker Krätschmer

Publication date: 13 June 2017

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

Full work available at URL: https://arxiv.org/abs/1601.05261

zbMATH Keywords

asymptotic normalitystrong consistencystatistical estimationweak dependencefunctional delta-methodquasi-Hadamard differentiabilityqualitative robustnessbootstrap consistency1-weak continuityexpectile-based risk measure

Mathematics Subject Classification ID

Related Items (20)

Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals ⋮ Estimating and backtesting risk under heavy tails ⋮ Expectile asymptotics ⋮ Performance measurement with expectiles ⋮ Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks ⋮ A class of distortion measures generated from expectile and its estimation ⋮ The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data ⋮ Parametric measures of variability induced by risk measures ⋮ On automatic bias reduction for extreme expectile estimation ⋮ Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework ⋮ A concept of copula robustness and its applications in quantitative risk management ⋮ Multivariate expectile-based distribution: properties, Bayesian inference, and applications ⋮ First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function ⋮ ExpectHill estimation, extreme risk and heavy tails ⋮ Tail expectile process and risk assessment ⋮ Local polynomial expectile regression ⋮ Expectile depth: theory and computation for bivariate datasets ⋮ Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models ⋮ The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors ⋮ Statistical inference in the partial functional linear expectile regression model

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