Estimation of the marginal expected shortfall
The mean when a related variable is extreme
Journal Article
(2015)
Author(s)
Juan-Juan Cai (TU Delft - Electrical Engineering, Mathematics and Computer Science)
John H.J. Einmahl (Tilburg University)
Laurens de Haan (Universidade de Lisboa)
Chen Zhou ( Erasmus Universiteit Rotterdam, De Nederlandsche Bank, Tinbergen Institute)
Research Group
Statistics
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Publication Year
2015
Language
English
Research Group
Statistics
Journal title
Journal of the Royal Statistical Society: Series B. Statistical Methodology
Issue number
2
Volume number
77
Pages (from-to)
417-442
Downloads counter
200
Abstract
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