Estimation of the marginal expected shortfall under asymptotic independence
Abstract
We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positive associated, which is modeled by the socalled tail dependent coefficient. We construct an estimator of the marginal expected shortfall which is shown to be asymptotically normal. The finite sample performance of the estimator is investigated in a small simulation study. The method is also applied to estimate the expected amount of rainfall at a weather station given that there is a once every 100 years rainfall at another weather station nearby.
 Publication:

arXiv eprints
 Pub Date:
 September 2017
 arXiv:
 arXiv:1709.04285
 Bibcode:
 2017arXiv170904285C
 Keywords:

 Mathematics  Statistics Theory