Nonparametric estimation of 100(1 - p)% expected shortfall: p → 0 as sample size is increased.
Santanu DuttaSuparna BiswasPublished in: Commun. Stat. Simul. Comput. (2018)
Keyphrases
- sample size
- nonparametric estimation
- confidence intervals
- random sampling
- model selection
- small sample
- covariance matrix
- small sample size
- upper bound
- variance reduction
- pac learning
- progressive sampling
- vc dimension
- statistical power
- probability density
- random sample
- statistical hypothesis testing
- worst case
- small samples
- bayesian framework