Modified marginal expected shortfall under asymptotic dependence

Details

Serval ID
serval:BIB_AC53D619E583
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Modified marginal expected shortfall under asymptotic dependence
Journal
Biometrika
Author(s)
Cai J.-J., Chavez-Demoulin V., Guillou A.
ISSN
0006-3444
Publication state
Published
Issued date
17/02/2017
Peer-reviewed
Oui
Volume
104
Number
1
Pages
243-249
Language
english
Abstract
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.
Keywords
Asymptotic dependence, Asymptotic normality, Infinite mean model, Marginal expected shortfall, Tsunami data
Web of science
Create date
31/12/2016 13:45
Last modification date
21/08/2019 5:14
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