Joint inference on extreme expectiles for multivariate heavy-tailed distributions
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DOI: 10.3150/21-bej1375
Abstract: The notion of expectiles, originally introduced in the context of testing for homoscedasticity and conditional symmetry of the error distribution in linear regression, induces a law-invariant, coherent and elicitable risk measure that has received a… read more here.
Keywords: joint inference; risk; heavy tailed; extreme expectiles ... See more keywords