A1827
Title: Estimation of conditional value-at-risk in linear model
Authors: Jan Picek - Technical University of Liberec (Czech Republic) [presenting]
Jana Jureckova - Charles University in Prague (Czech Republic)
Abstract: A consistent nonparametric estimate of the conditional value-at-risk of the variable is proposed, whose observations are not available directly, while only the responses affected by covariates with unknown intensities are observed. The estimate is based on the averaged two-step regression quantiles of the linear model, through an R-estimator of the slope components. The performance of the proposed estimate is demonstrated by a simulation study and real data examples.
