Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case
DOI10.1080/02331888.2022.2043325zbMath1493.62514OpenAlexW4214601662MaRDI QIDQ5064925
Florence Merlevède, Jérôme Dedecker
Publication date: 17 March 2022
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888.2022.2043325
stationary sequencesexpected shortfallaverage value-at-riskconditional value-at-riskmixing sequencessuperquantiles
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Strong limit theorems (60F15)
Uses Software
Cites Work
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