A CVaR Estimation Model Based on Stable Distribution in SPAN System.
Lun CaiZhihong DengPublished in: BIC-TA (2) (2019)
Keyphrases
- nonparametric estimation
- beta distribution
- data driven
- estimation accuracy
- probability density
- risk measures
- probability distribution
- spatial distribution
- maximum likelihood estimation
- robust estimation
- estimation algorithm
- portfolio selection
- kernel density
- parameter estimation
- data mining
- power law
- accurate estimation
- random variables
- density distribution