Modified marginal expected shortfall under asymptotic dependence
成果类型：
Article
署名作者：
Cai, J. -J.; Chavez-Demoulin, V.; Guillou, A.
署名单位：
Delft University of Technology; University of Lausanne; Universites de Strasbourg Etablissements Associes; Universite de Strasbourg
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/asx005
发表日期：
2017
页码：
243249
关键词：
摘要：
We propose an estimator of the marginal expected shortfall by considering a log transformation of a variable which has an infinite expectation. We establish the asymptotic normality of our estimator under general assumptions. A simulation study suggests that the estimation procedure is robust with respect to the choice of tuning parameters. Our estimator has lower bias and mean squared error than the empirical estimator when the latter is applicable. We illustrate our method on a tsunami dataset.