A predictive approach to quantiles: application to value at risk and tail value at risk

DOI10.37190/0208-4147.00139MaRDI QIDQ6619730

H. Gzyl

Publication date: 16 October 2024

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

value at risktail value at riskprediction in non-Euclidean metricsquantiles as best predictors

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistics (62-XX) Foundations of probability theory (60A99) Geometric probability and stochastic geometry (60D99)

Cites Work

• Intrinsic analysis of statistical estimation
• Probability essentials
• Regression Quantiles
• Prediction in Riemannian metrics derived from divergence functions
• Mean, What do You Mean?
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