On the \(L_p\)-norm regression models for estimating value-at-risk

zbMATH Open1419.62299MaRDI QIDQ2832185

Faramarz Kashanchi, Pranesh Kumar

Publication date: 10 November 2016

Published in: Serdica Journal of Computing (Search for Journal in Brave)

zbMATH Keywords

least-squares estimationquantile distributionsvalue-at-risk (VaR)\(L_p\)-norms

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators

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