67 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- IFP Énergies nouvellesFR2 papers
- Academy of ArtsEG1 paper
- Cornell UniversityUS1 paper
- Emory UniversityUS1 paper
- Guangdong University of Foreign StudiesCN1 paper
- International Fine Particle Research InstituteUS1 paper
- Kazakh-British Technical UniversityKZ1 paper
- Middlebury CollegeUS1 paper
- Rice UniversityUS1 paper
- University of ChileCL1 paper
- University of Colorado BoulderUS1 paper
- University of Colorado SystemUS1 paper
Showing 2016Show all
2 papers · 1 filter
stat.ME2016★ 67 cited
Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Carlos Martins-Filho, Feng Yao, Maximo Torero
We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) associated with conditional distributions of a series of returns o…
math.ST2016★ 2 cited
Reducing bias in nonparametric density estimation via bandwidth dependent kernels: view
Kairat Mynbaev, Carlos Martins-Filho
We define a new bandwidth-dependent kernel density estimator that improves existing convergence rates for the bias, and preserves that of the variation, when the error is measured…