Estimation of the marginal expected shortfall: The mean when a related variable is extreme

Juan-Juan Cai, John H.J. Einmahl, Laurens de Haan, Chen Zhou

Research output: Contribution to journalArticleScientificpeer-review

37 Citations (Scopus)

Abstract


Original languageEnglish
Pages (from-to)417-442
Number of pages26
JournalJournal of the Royal Statistical Society: Series B. Statistical Methodology
Volume77
Issue number2
Publication statusPublished - 2015

Keywords

  • Asymptotic normality
  • Conditional tail expectation
  • Extreme values

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