最小假设下的经验尾条件分配及其一致性

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Annals of the Institute of Statistical Mathematics Pub Date : 2021-11-26 DOI:10.1007/s10463-021-00813-3

N. V. Gribkova, J. Su, R. Zitikis

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引用次数: 0

摘要

在最小假设下，我们证明了尾部条件分配（TCA）的经验估计量（也称为边际预期短缺）是一致的。提供的例子证实了假设的最小性。一项模拟研究说明了在为TCA开发置信区间的背景下估计器的性能。本文所采用的哲学依赖于三个原则：易于实际使用、数学严谨、假设的实际合理性和可验证性。

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Empirical tail conditional allocation and its consistency under minimal assumptions

Under minimal assumptions, we prove that an empirical estimator of the tail conditional allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are provided to confirm the minimality of the assumptions. A simulation study illustrates the performance of the estimator in the context of developing confidence intervals for the TCA. The philosophy adopted in the present paper relies on three principles: easiness of practical use, mathematical rigor, and practical justifiability and verifiability of assumptions.

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来源期刊

Annals of the Institute of Statistical Mathematics 数学-统计学与概率论

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： Annals of the Institute of Statistical Mathematics (AISM) aims to provide a forum for open communication among statisticians, and to contribute to the advancement of statistics as a science to enable humans to handle information in order to cope with uncertainties. It publishes high-quality papers that shed new light on the theoretical, computational and/or methodological aspects of statistical science. Emphasis is placed on (a) development of new methodologies motivated by real data, (b) development of unifying theories, and (c) analysis and improvement of existing methodologies and theories.