Robust estimation and inference for expected shortfall regression with many regressors

DOI10.1093/jrsssb/qkad063MaRDI QIDQ6606107

Kean Ming Tan, Xuming He, Wen-Xin Zhou

Publication date: 16 September 2024

Published in: Journal of the Royal Statistical Society. Series B. Statistical Methodology (Search for Journal in Brave)

zbMATH Keywords

quantile regressionheavy-tailed distributionexpected shortfallHuber lossNeyman orthogonality

Mathematics Subject Classification ID

Statistics (62-XX)

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