Spatio-Functional Nadaraya–Watson Estimator of the Expectile Shortfall Regression
The main aim of this paper is to consider a new risk metric that permits taking into account the spatial interactions of data. The considered risk metric explores the spatial tail-expectation of the data. Indeed, it is obtained by combining the ideas of expected shortfall regression with an expectil...
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| Hlavní autoři: | , , , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
MDPI AG
2024-09-01
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| Edice: | Axioms |
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| On-line přístup: | https://www.mdpi.com/2075-1680/13/10/678 |
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