67 citations · 69 across the 3 of their papers we have counts for
3 papers
econ.EM2026
Estimation of distribution functions, their jumps and interval probabilities under measurement error
Kairat Mynbaev, Carlos Martins-Filho, Chad Brown
We consider the classical additive measurement-error model , where the latent random variable has unknown distribution and the error has a known distribution.…
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…