Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme (Q5378122)
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scientific article; zbMATH DE number 7064942
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme |
scientific article; zbMATH DE number 7064942 |
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Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme (English)
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12 June 2019
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asymptotic normality
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conditional tail expectation
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extreme values
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