A joint quantile and expected shortfall regression framework

DOI10.1214/19-ejs1560zbMath1460.62165arXiv1704.02213MaRDI QIDQ62993

Sebastian Bayer, Timo Dimitriadis, Timo Dimitriadis, Sebastian Bayer

Publication date: 1 January 2019

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

Full work available at URL: https://arxiv.org/abs/1704.02213

zbMATH Keywords

quantile regression; expected shortfall; M-estimation; joint elicitability; joint regression

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62G08: Nonparametric regression and quantile regression

62P05: Applications of statistics to actuarial sciences and financial mathematics

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