Estimation of multivariate conditional-tail-expectation using Kendall's process

DOI10.1080/10485252.2014.889137zbMath1359.62183OpenAlexW1973001681MaRDI QIDQ5419464

Elena Di Bernardino, Clémentine Prieur

Publication date: 6 June 2014

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2014.889137

zbMATH Keywords

Kendall's processmultivariate Kendall distributionmultidimensional risk measures

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (2)

Estimation of extreme quantiles conditioning on multivariate critical layers ⋮ Extremes for multivariate expectiles

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