Reduced-bias estimation of the extreme conditional tail expectation for Box–Cox transforms of heavy-tailed distributions-Reference-Cited by-同舟云学术

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Reduced-bias estimation of the extreme conditional tail expectation for Box–Cox transforms of heavy-tailed distributions

Published:2024-12 Issue: Volume:233 Page:106189
ISSN:0378-3758
Container-title:Journal of Statistical Planning and Inference
language:en
Short-container-title:Journal of Statistical Planning and Inference

Author:

Allouche Michaël,El Methni Jonathan,Girard Stéphane^ORCID

Publisher

Elsevier BV

Reference50 articles.

1. Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables;Abramowitz,1964

2. Spectral measures of risk: A coherent representation of subjective risk aversion;Acerbi;J. Bank. Financ.,2002

3. A refined Weissman estimator for extreme quantiles;Allouche;Extremes,2023

4. Coherent measures of risk;Artzner;Math. Finance,1999

5. An overview and open research topics in statistics of univariate extremes;Beirlant;Revstat – Stat. J.,2012

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