Leorato, Samantha; Peracchi, Franco; Tanase, Andrei V. - In: Computational Statistics & Data Analysis 56 (2012) 4, pp. 768-784
A procedure for efficient estimation of the trimmed mean of a random variable conditional on a set of covariates is proposed. For concreteness, the focus is on a financial application where the trimmed mean of interest corresponds to the conditional expected shortfall, which is known to be a...
