Modified marginal expected shortfall under asymptotic dependence

Juanjuan Cai, Valerie Chavez-Demoulin, Armelle Guillou

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)243-249
Number of pages7
JournalBiometrika
Volume104
Issue number1
DOIs
Publication statusPublished - 2017

Keywords

  • Asymptotic dependence
  • Asymptotic normality
  • Infinite mean model
  • Marginal expected shortfall
  • Tsunami data

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