Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds

DOI10.1080/00949655.2021.1966791OpenAlexW3197255510MaRDI QIDQ3390465

Yi Wu, Wei Yu, Xue-jun Wang, Narayanaswamy Balakrishnan

Publication date: 24 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2021.1966791

zbMATH Keywords

nonparametric estimationexpected shortfallBerry-Esséen boundBahadur-type representation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics (62-XX)

Cites Work

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• Large deviations for some dependent sequences
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• On asymptotic approximation of inverse moments for a class of nonnegative random variables
• On the Central Limit Theorem for $\varphi$-Mixing Arrays of Random Variables
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• DETECTING AND MODELING TAIL DEPENDENCE
• Convergence of stochastic processes

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