کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
415861 681247 2012 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotically efficient estimation of the conditional expected shortfall
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Asymptotically efficient estimation of the conditional expected shortfall
چکیده انگلیسی

A procedure for efficient estimation of the trimmed mean of a random variable conditional on a set of covariates is proposed. For concreteness, the focus is on a financial application where the trimmed mean of interest corresponds to the conditional expected shortfall, which is known to be a coherent risk measure. The proposed class of estimators is based on representing the estimator as an integral of the conditional quantile function. Relative to the simple analog estimator that weights all conditional quantiles equally, asymptotic efficiency gains may be attained by giving different weights to the different conditional quantiles while penalizing excessive departures from uniform weighting. The approach presented here allows for either parametric or nonparametric modeling of the conditional quantiles and the weights, but is essentially nonparametric in spirit. The asymptotic properties of the proposed class of estimators are established. Their finite sample properties are illustrated through a set of Monte Carlo experiments and an empirical application1.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 4, 1 April 2012, Pages 768–784
نویسندگان
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