Estimation of the marginal expected shortfall under asymptotic independence
Statistics Theory
2017-09-14 v1 Statistics Theory
Abstract
We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positive 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
Cite
@article{arxiv.1709.04285,
title = {Estimation of the marginal expected shortfall under asymptotic independence},
author = {Juan-Juan Cai and Eni Musta},
journal= {arXiv preprint arXiv:1709.04285},
year = {2017}
}