Robust estimation and inference for expected shortfall regression with many regressors (Q6606107)
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scientific article; zbMATH DE number 7914007
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust estimation and inference for expected shortfall regression with many regressors |
scientific article; zbMATH DE number 7914007 |
Statements
Robust estimation and inference for expected shortfall regression with many regressors (English)
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16 September 2024
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expected shortfall
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heavy-tailed distribution
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Huber loss
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Neyman orthogonality
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quantile regression
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