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Article Dans Une Revue Biometrika Année : 2017

Modified marginal expected shortfall under asymptotic dependence

Résumé

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.
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Dates et versions

hal-02393467 , version 1 (06-12-2019)

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Juan-Juan Cai, Valérie Chavez-Demoulin, Armelle Guillou. Modified marginal expected shortfall under asymptotic dependence. Biometrika, 2017, 104, pp.243 - 249. ⟨10.1093/biomet/asx005⟩. ⟨hal-02393467⟩
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