• Corpus ID: 237433460

Estimation of the covariate conditional tail expectation : a depth-based level set approach

@inproceedings{Elisabeth2021EstimationOT,
  title={Estimation of the covariate conditional tail expectation : a depth-based level set approach},
  author={Armaut Elisabeth and Diel Roland and Laloe Thomas},
  year={2021}
}
The aim of this paper is to study the asymptotic behavior of a particular multivariate risk measure, the Covariate-Conditional-TailExpectation (CCTE), based on a multivariate statistical depth function. Depth functions have become increasingly powerful tools in nonparametric inference for multivariate data, as they measure a degree of centrality of a point with respect to a distribution. A multivariate risks scenario is then represented by a depth-based lower level set of the risk factors… 

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