DOI

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.

Язык оригиналаанглийский
Страницы (с-по)713 - 735
Число страниц23
ЖурналAnnals of the Institute of Statistical Mathematics
Том74
Номер выпуска4
Дата раннего онлайн-доступа26 ноя 2021
DOI
СостояниеОпубликовано - 2022

    Предметные области Scopus

  • Теория вероятности и статистика

ID: 89280068