High-Dimensional Expected Shortfall Regression

High-Dimensional Expected Shortfall Regression

High-Dimensional Expected Shortfall Regression

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Bibliographic Details
Main Author: Shushu Zhang (20591844) (author)
Other Authors: Xuming He (256403) (author), Kean Ming Tan (12224350) (author), Wen-Xin Zhou (767410) (author)
Published: 2025
Subjects:
Molecular Biology
Ecology
Sociology
Conditional value-at-risk
Data heterogeneity
Debiased inference
Neyman orthogonality
Quantile regression
Superquantile regression
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Summary:High-Dimensional Expected Shortfall Regression

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