On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
Year of publication: |
February 2016
|
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Authors: | Marumo, Kohei ; Wolff, Rodney C. |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2015/2016, 3, p. 47-76
|
Subject: | delta-gamma-vega-normal model | expected shortfall | Hermite polynomials | historical limulation (HS) method | vali-at-risk (VaR) | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
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