Kernel estimation of extreme regression risk measures

DOI10.1214/18-EJS1392zbMath1388.62141MaRDI QIDQ1697481

Laurent Gardes, Jonathan El Methni, Stéphane Girard

Publication date: 20 February 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1518663657

zbMATH Keywords

asymptotic normalitykernel estimatorrisk measuresextreme-value indexconditional tail momentextreme-value analysis

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Extreme value estimation of the conditional risk premium in reinsurance ⋮ On the estimation of the variability in the distribution tail ⋮ Nonparametric estimation of conditional marginal excess moments

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