Robustification and performance evaluation of empirical risk measures and other vector-valued estimators

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zbMath1416.62580MaRDI QIDQ2002995

Ričardas Zitikis, Vytaras Brazauskas, Bruce L. Jones

Publication date: 12 July 2019

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

robustness efficiency risk measure empirical estimator nonparametric inference parametric inference distortion function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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