We use influence functions as a basic tool to study unconditional nonparametric and parametric expected shortfall (ES) estimators with regard to returns data influence, standard errors and coherence.

Let τ be a prior distribution over the parameter space Θ for a given parametric model P θ, θ ∈ Θ. For the sample space X (over which P θ 's are probability measures) belonging to a general class of ...

Nonparametric estimation and U-statistics have emerged as vital tools in modern statistical analysis, offering robust alternatives to traditional parametric methods. Nonparametric techniques bypass ...

Description: Instruction in parametric and nonparametric statistics, their use in research and journal publications and interpretation of statistical tests in journal articles. Data management and ...