An expectile computation cookbook

DOI10.1007/s11222-024-10403-xzbMath1539.62017MaRDI QIDQ6547781

Antoine Usseglio-Carleve, Abdelaati Daouia, Gilles Stupfler

Publication date: 31 May 2024

Published in: Statistics and Computing (Search for Journal in Brave)

zbMATH Keywords

Newton-Raphson methodquadratic convergenceMonte Carlo samplingcontrol variatesexpectilesexact computation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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