Recursive Estimation of the Expectile-Based Shortfall in Functional Ergodic Time Series

Recursive Estimation of the Expectile-Based Shortfall in Functional Ergodic Time Series

This paper considers the Recursive Kernel Estimator (RKE) of the expectile-based conditional shortfall. The estimator is constructed under a functional structure based on the ergodicity assumption. More preciously, we assume that the input-variable is valued in a pseudo-metric space, output-variable...

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Bibliographic Details
Main Authors: Fatimah A. Almulhim, Mohammed B. Alamari, Mustapha Rachdi, Ali Laksaci
Format: Article
Language:English
Published: MDPI AG 2024-12-01
Series:Mathematics
Subjects:
functional data
ergodic data
recursive estimate
financial risk
expected shortfall
complete consistency
Online Access:https://www.mdpi.com/2227-7390/12/24/3956
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