Estimation of the marginal expected shortfall

The mean when a related variable is extreme

Journal article (2015)

Authors

J. Cai Statistics - EEMCS
John H.J. Einmahl Tilburg University
Laurens de Haan University of Lisbon
Chen Zhou Tinbergen Institute, De Nederlandsche Bank, Erasmus Universiteit Rotterdam
Research Group
Statistics (EEMCS) (TU Delft)
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Published Date

2015

Language

English

Reuse Rights

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Statistics

Abstract