Conditional marginal expected shortfall
From MaRDI portal
Publication:826003
DOI10.1007/s10687-020-00403-1zbMath1482.62105OpenAlexW2970871209MaRDI QIDQ826003
Jing Qin, Nguyen Khanh Le Ho, Yuri Goegebeur, Armelle Guillou
Publication date: 18 December 2021
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-020-00403-1
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)
Related Items (2)
Robust estimation of the conditional stable tail dependence function ⋮ Nonparametric estimation of conditional marginal excess moments
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Tail risk of multivariate regular variation
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Time-varying extreme value dependence with application to leading European stock markets
- Risk contagion under regular variation and asymptotic tail independence
- Tail dimension reduction for extreme quantile estimation
- Kernel estimators of extreme level curves
- Weak convergence and empirical processes. With applications to statistics
- Local robust estimation of the Pickands dependence function
- Conditional excess risk measures and multivariate regular variation
- Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
- On kernel smoothing for extremal quantile regression
- Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
- Coherent Measures of Risk
- A local moment type estimator for the extreme value index in regression with random covariates
- Regression‐type models for extremal dependence
- Conditional tail expectations for multivariate phase-type distributions
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Asymptotic Statistics
- Local Polynomial Estimation in Multiparameter Likelihood Models
- Local Estimation of the Conditional Stable Tail Dependence Function
- Extreme Quantile Estimation Based on the Tail Single-index Model
- Estimation of the marginal expected shortfall under asymptotic independence
- Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme
- MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
- Tail Conditional Expectations for Elliptical Distributions
This page was built for publication: Conditional marginal expected shortfall
