Modified marginal expected shortfall under asymptotic dependence

Détails

ID Serval
serval:BIB_AC53D619E583
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Modified marginal expected shortfall under asymptotic dependence
Périodique
Biometrika
Auteur⸱e⸱s
Cai J.-J., Chavez-Demoulin V., Guillou A.
ISSN
0006-3444
Statut éditorial
Publié
Date de publication
17/02/2017
Peer-reviewed
Oui
Volume
104
Numéro
1
Pages
243-249
Langue
anglais
Résumé
We propose an estimator of the marginal expected shortfall by considering a log transformation of a variable which has an infinite expectation. We establish the asymptotic normality of our estimator under general assumptions. A simulation study suggests that the estimation procedure is robust with respect to the choice of tuning parameters. Our estimator has lower bias and mean squared error than the empirical estimator when the latter is applicable. We illustrate our methodology on a tsunami dataset.
Mots-clé
Asymptotic dependence, Asymptotic normality, Infinite mean model, Marginal expected shortfall, Tsunami data
Web of science
Création de la notice
31/12/2016 14:45
Dernière modification de la notice
21/08/2019 6:14
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