Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds

Authors :: Yi Wu
Narayanaswamy Balakrishnan
Wei Yu
Xuejun Wang
Source :: Journal of Statistical Computation and Simulation. 92:544-566
Publication Year :: 2021
Publisher :: Informa UK Limited, 2021.
Abstract: The expected shortfall is an important risk measure in financial risk management. In this paper, we study the Bahadur-type representation of an improved nonparametric expected shortfall estimator f...

Subjects :: Statistics and Probability
Estimation
Applied Mathematics
Risk measure
Nonparametric statistics
Representation (systemics)
Financial risk management
Estimator
Type (model theory)
Expected shortfall
Modeling and Simulation
Econometrics
Statistics, Probability and Uncertainty
Mathematics

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