A modified functional delta method and its application to the estimation of risk functionals
From MaRDI portal
Publication:604360
DOI10.1016/j.jmva.2010.06.015zbMath1213.62055OpenAlexW1998138106MaRDI QIDQ604360
Publication date: 10 November 2010
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2010.06.015
Multivariate analysis (62H99) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Survival analysis and censored data (62N99)
Related Items
Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals ⋮ Information bounds for nonparametric estimators of \(L\)-functionals and survival functionals under censored data ⋮ Bregman superquantiles. Estimation methods and applications ⋮ Marcinkiewicz–Zygmund and ordinary strong laws for empirical distribution functions and plug-in estimators ⋮ Statistical estimation of composite risk functionals and risk optimization problems ⋮ Application of the delta method to functions of the sample mean when observations are dependent ⋮ A history of the delta method and some new results ⋮ Deriving the asymptotic distribution of \(U\)- and \(V\)-statistics of dependent data using weighted empirical processes ⋮ Qualitative and infinitesimal robustness of tail-dependent statistical functionals ⋮ A general approach to the joint asymptotic analysis of statistics from sub-samples ⋮ Continuous mapping approach to the asymptotics of \(U\)- and \(V\)-statistics ⋮ Sensitivity of risk measures with respect to the normal approximation of total claim distributions ⋮ Comparative and qualitative robustness for law-invariant risk measures ⋮ Non asymptotic controls on a recursive superquantile approximation ⋮ Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling ⋮ Statistical Inference for Expectile‐based Risk Measures ⋮ Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure ⋮ An Extended Continuous Mapping Theorem for Outer Almost Sure Weak Convergence ⋮ Asymptotics for statistical functionals of long-memory sequences ⋮ Asymptotic linear expansion of regularized M-estimators ⋮ Weak convergence of the weighted sequential empirical process of some long-range dependent data ⋮ TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Von Mises calculus for statistical functionals
- Rates of almost sure convergence of plug-in estimates for distortion risk measures
- Weak convergence for weighted empirical processes of dependent sequences
- Generalized L-, M-, and R-statistics
- Basic properties of strong mixing conditions. A survey and some open questions
- On Hadamard differentiability of extended statistical functional
- Comonotonicity, correlation order and premium principles
- Mixing: Properties and examples
- Incomplete generalized \(L\)-statistics
- Linear functions of order statistics with smooth weight functions
- Hadamard differentiability on \(D[0,1^p\)]
- Weak convergence and empirical processes. With applications to statistics
- Coherent Measures of Risk
- Kernel Quantile Estimators
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
- Asymptotic Statistics
- L-estimators and m-estimators for doubly censored data
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- “Empirical Estimation of Risk Measures and Related Quantities,” Bruce L. Jones and Ricǎrdas Zitikis, October 2003
- Convergence of stochastic processes
- Statistical models based on counting processes
- Stochastic finance. An introduction in discrete time