Recursive Estimation of the Expectile-Based Shortfall in Functional Ergodic Time Series
This paper considers the Recursive Kernel Estimator (RKE) of the expectile-based conditional shortfall. The estimator is constructed under a functional structure based on the ergodicity assumption. More preciously, we assume that the input-variable is valued in a pseudo-metric space, output-variable...
| 主要な著者: | , , , |
|---|---|
| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
MDPI AG
2024-12-01
|
| シリーズ: | Mathematics |
| 主題: | |
| オンライン･アクセス: | https://www.mdpi.com/2227-7390/12/24/3956 |