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Institute of Information Theory and Automation
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Bibliography
Conference Paper (international conference)
Estimation of Expected Shortfall in Linear Model
: ICORS 2023 = Book of abstracts, p. 29-30
: International Conference on Robust Statistics 2023, (Toulouse, FR, 20230523)
: GA22-03636S, GA ČR
: Linear model, Expected shortfall, Regression quantile
: http://library.utia.cas.cz/separaty/2023/SI/jureckova-0572530.pdf
(eng): The possibly incurred loss of a portfolio can be linearly affected by unobservable covariates, while we observe only the resulting response. We propose the method of estimating the true loss with the aid\nof regression quantiles.\n
: BB
: 10103