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Estimation of the marginal expected shortfall under asymptotic independence. / Cai, Juanjuan; Musta, Eni.

In: Scandinavian Journal of Statistics, 2019, p. 1-28.

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Cai, Juanjuan ; Musta, Eni. / Estimation of the marginal expected shortfall under asymptotic independence. In: Scandinavian Journal of Statistics. 2019 ; pp. 1-28.

BibTeX

@article{2da2ef972cb7494e8bbc279409d0887c,
title = "Estimation of the marginal expected shortfall under asymptotic independence",
abstract = "We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positively associated, which is modeled by the so-called tail dependent coefficient. We construct an estimator of the marginal expected shortfall, which is shown to be asymptotically normal. The finite sample performance of the estimator is investigated in a small simulation study. The method is also applied to estimate the expected amount of rainfall at a weather station given that there is a once every 100 years rainfall at another weather station nearby.",
keywords = "asymptotic independence, marginal expected shortfall, tail dependence coefficient",
author = "Juanjuan Cai and Eni Musta",
year = "2019",
doi = "10.1111/sjos.12397",
language = "English",
pages = "1--28",
journal = "Scandinavian Journal of Statistics: theory and applications",
issn = "0303-6898",
publisher = "Blackwell",

}

RIS

TY - JOUR

T1 - Estimation of the marginal expected shortfall under asymptotic independence

AU - Cai, Juanjuan

AU - Musta, Eni

PY - 2019

Y1 - 2019

N2 - We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positively associated, which is modeled by the so-called tail dependent coefficient. We construct an estimator of the marginal expected shortfall, which is shown to be asymptotically normal. The finite sample performance of the estimator is investigated in a small simulation study. The method is also applied to estimate the expected amount of rainfall at a weather station given that there is a once every 100 years rainfall at another weather station nearby.

AB - We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positively associated, which is modeled by the so-called tail dependent coefficient. We construct an estimator of the marginal expected shortfall, which is shown to be asymptotically normal. The finite sample performance of the estimator is investigated in a small simulation study. The method is also applied to estimate the expected amount of rainfall at a weather station given that there is a once every 100 years rainfall at another weather station nearby.

KW - asymptotic independence

KW - marginal expected shortfall

KW - tail dependence coefficient

UR - http://www.scopus.com/inward/record.url?scp=85067074778&partnerID=8YFLogxK

U2 - 10.1111/sjos.12397

DO - 10.1111/sjos.12397

M3 - Article

AN - SCOPUS:85067074778

SP - 1

EP - 28

JO - Scandinavian Journal of Statistics: theory and applications

JF - Scandinavian Journal of Statistics: theory and applications

SN - 0303-6898

ER -

ID: 54760382