Bregman superquantiles. Estimation methods and applications
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Publication:325014
DOI10.1515/demo-2016-0004zbMath1348.62076arXiv1405.6677OpenAlexW2392567602MaRDI QIDQ325014
Fabrice Gamboa, Aurélien Garivier, Tatiana Labopin-Richard, Bertrand Iooss
Publication date: 17 October 2016
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.6677
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Sequential estimation (62L12)
Related Items (2)
Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case ⋮ Non asymptotic controls on a recursive superquantile approximation
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