Asymptotics for the linear kernel quantile estimator
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DOI: 10.1007/s11749-019-00627-9
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- Wilson Calmon & Eduardo Ferioli & Davi Lettieri & Johann Soares & Adrian Pizzinga, 2021. "An Extensive Comparison of Some Well‐Established Value at Risk Methods," International Statistical Review, International Statistical Institute, vol. 89(1), pages 148-166, April.
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Keywords
Bahadur representation; Linear kernel quantile estimator; Value-at-risk; Strong consistency; Asymptotic normality;All these keywords.
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