Empirical tail conditional allocation and its consistency under minimal assumptions

Standard

Empirical tail conditional allocation and its consistency under minimal assumptions. / Gribkova, N. V.; Su, J.; Zitikis, R.

In: Annals of the Institute of Statistical Mathematics, 26.11.2021.

Research output: Contribution to journal › Article › peer-review

BibTeX

@article{a273b969165f4e0397bad29c63f3bef0,

title = "Empirical tail conditional allocation and its consistency under minimal assumptions",

abstract = "Under minimal assumptions, we prove that an empirical estimator of the tail conditional allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are provided to confirm the minimality of the assumptions. A simulation study illustrates the performance of the estimator in the context of developing confidence intervals for the TCA. The philosophy adopted in the present paper relies on three principles: easiness of practical use, mathematical rigor, and practical justifiability and verifiability of assumptions.",

keywords = "Concomitant, Inference, Marginal expected shortfall, Order statistic, Tail conditional allocation, MODELS, EXPECTED SHORTFALL, RISK, N-BOOTSTRAP",

author = "Gribkova, {N. V.} and J. Su and R. Zitikis",

note = "Publisher Copyright: {\textcopyright} 2021, The Institute of Statistical Mathematics, Tokyo.",

year = "2021",

month = nov,

day = "26",

doi = "10.1007/s10463-021-00813-3",

language = "English",

journal = "Annals of the Institute of Statistical Mathematics",

issn = "0020-3157",

publisher = "Springer Nature",

}

RIS

TY - JOUR

T1 - Empirical tail conditional allocation and its consistency under minimal assumptions

AU - Gribkova, N. V.

AU - Su, J.

AU - Zitikis, R.

PY - 2021/11/26

Y1 - 2021/11/26

N2 - Under minimal assumptions, we prove that an empirical estimator of the tail conditional allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are provided to confirm the minimality of the assumptions. A simulation study illustrates the performance of the estimator in the context of developing confidence intervals for the TCA. The philosophy adopted in the present paper relies on three principles: easiness of practical use, mathematical rigor, and practical justifiability and verifiability of assumptions.

AB - Under minimal assumptions, we prove that an empirical estimator of the tail conditional allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are provided to confirm the minimality of the assumptions. A simulation study illustrates the performance of the estimator in the context of developing confidence intervals for the TCA. The philosophy adopted in the present paper relies on three principles: easiness of practical use, mathematical rigor, and practical justifiability and verifiability of assumptions.

KW - Concomitant

KW - Inference

KW - Marginal expected shortfall

KW - Order statistic

KW - Tail conditional allocation

KW - MODELS

KW - EXPECTED SHORTFALL

KW - RISK

KW - N-BOOTSTRAP

UR - http://www.scopus.com/inward/record.url?scp=85119952134&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/e90483b3-a957-3588-927b-4b2a84368062/

U2 - 10.1007/s10463-021-00813-3

DO - 10.1007/s10463-021-00813-3

M3 - Article

AN - SCOPUS:85119952134

JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

SN - 0020-3157

ER -

ID: 89280068