計量経済学
計量経済学セミナーは、国内外の計量経済学研究者を招聘し、計量経済理論や実証分析に関する研究報告をお願いし、議論を通じて相互に理解を深めると共に、新たな研究テーマを模索する場を提供します。計量経済学に興味をもつ研究者、ポスドク、大学院、学部学生の皆さんのご参加を歓迎します。
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16:00〜17:30
16:00〜17:30
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16:30〜18:00
応用ミクロ経済学ワークショップと共同開催
16:00〜17:30
The class of distortion risk measures coincides with the set of coherent risk measures that are law invariant and comonotonically additive. The class includes the renowned expected shortfall which has many nice features and is of frequent use in practice.
To implement the risk management/regulatory procedure using risk measures, it is necessary to estimate the values of such risk measures.
For a distortion risk measure, its form suggests a simple L-statisitics as a natural nonparametric estimator.
In this talk, we mainly focus on asymptotic properties of L-statistics when the data is weakly dependent; more precisely, when they are considered to be realizations of strong mixing process. Some moment inequalities, nearly linear bounds on the empirical distribution function, and some limit theorems will be discussed.