Event
Elena di Bernardino, Conservatoire national des arts et m茅tiers (Paris, France)
Friday, May 17, 2019 14:00to15:00
Room LB 921-4, Concordia University, Pavillon J.W. McConnell (Library), CA
Title:聽Estimation for multivariate risk measures for extreme risk levels
Abstract:聽This work deals with the problem of estimating the multivariate risk measures introduced in the recent literature. We propose a semiparametric inference approach for these risk measures, essentially based on statistical extrapolation techniques, well designed for extreme risk levels. We prove a central limit theorem for the obtained estimators. We illustrate the practical properties of our estimator on simulations and real environmental data.