Two-step online estimation and inference for expected shortfall regression with streaming data

IF 1.2 4区数学 Q2 STATISTICS & PROBABILITY

Statistics Pub Date : 2024-06-18 DOI:10.1080/02331888.2024.2366952

Yajie Mi, Lei Wang

引用次数: 0

Abstract

Expected shortfall, is defined as the average over the tail below (or above) a certain quantile of a probability distribution. The expected shortfall regression (ESR) provides powerful tools for an...

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利用流数据对预期短缺回归进行两步在线估计和推理

预期短缺是指概率分布中低于（或高于）某个量级的尾部平均值。期望短缺回归（ESR）为分析概率分布提供了强大的工具。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics 数学-统计学与概率论

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 months

期刊介绍： Statistics publishes papers developing and analysing new methods for any active field of statistics, motivated by real-life problems. Papers submitted for consideration should provide interesting and novel contributions to statistical theory and its applications with rigorous mathematical results and proofs. Moreover, numerical simulations and application to real data sets can improve the quality of papers, and should be included where appropriate. Statistics does not publish papers which represent mere application of existing procedures to case studies, and papers are required to contain methodological or theoretical innovation. Topics of interest include, for example, nonparametric statistics, time series, analysis of topological or functional data. Furthermore the journal also welcomes submissions in the field of theoretical econometrics and its links to mathematical statistics.