Empirical Likelihood Intervals for Conditional Value-at-Risk in Heteroscedastic Regression Models
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Publication:2911698
DOI10.1111/j.1467-9469.2011.00747.xzbMath1246.91063OpenAlexW2158449432MaRDI QIDQ2911698
Yun Gong, Zhouping Li, Liang Peng
Publication date: 1 September 2012
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9469.2011.00747.x
Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric tolerance and confidence regions (62G15)
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