Rates of almost sure convergence of plug-in estimates for distortion risk measures

DOI10.1007/s00184-010-0302-zzbMath1234.62138OpenAlexW1992445715MaRDI QIDQ641768

Henryk Zähle

Publication date: 25 October 2011

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/26949

zbMATH Keywords

smoothingcensoringempirical distribution functionGlivenko-Cantelli theorem for weighted errors

Mathematics Subject Classification ID

Related Items (6)

Bregman superquantiles. Estimation methods and applications ⋮ Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks ⋮ Marcinkiewicz–Zygmund and ordinary strong laws for empirical distribution functions and plug-in estimators ⋮ A modified functional delta method and its application to the estimation of risk functionals ⋮ 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

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