Efficient density estimation and value at risk using Fejér-type kernel functions
Year of publication: |
November 2015
|
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Authors: | Kosta, Olga ; Stepanova, Natalia |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 5, p. 480-504
|
Subject: | Value at Risk | Kernel-Type Density Estimator | Fejér-Type Kernel | Asymptotic Minimaxity | Mean Integrated Squared Error | Fourier Analysis | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Core | Experiment | Statistische Verteilung | Statistical distribution | Nichtparametrisches Verfahren | Nonparametric statistics |
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