Empirical Likelihood Estimation for High Quantiles

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：sbisk

【摘要】

：

The estimation of high quantile plays an important role in risk management,because the prevalent risk measure VaR(value at risk)is essentially a high quantile.

【作者】

：

Haoze Sun Pengfei Li Chengguo Weng

【机构】

：

Department of Mathematics,Zhejiang University,Hangzhou,Zhejiang,310027,China

【出处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

Quantile estimation Empirical Likelihood Heavy-tailed

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　　The estimation of high quantile plays an important role in risk management,because the prevalent risk measure VaR(value at risk)is essentially a high quantile.

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Empirical Likelihood Estimation for High Quantiles

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