2 papers
stat.ME2023
Tail Gini Functional under Asymptotic Independence
Zhaowen Wang, Liujun Chen, Deyuan Li
Tail Gini functional is a measure of tail risk variability for systemic risks, and has many applications in banking, finance and insurance. Meanwhile, there is growing attention on…
stat.ME2021
Adapting the Hill estimator to distributed inference: dealing with the bias
Liujun Chen, Deyuan Li, Chen Zhou
The distributed Hill estimator is a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. In applications, estimates based…