Marginal expected shortfall risk measure for time series

Yuri Goegebeur (), Armelle Guillou and Jing Qin
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Yuri Goegebeur: University of Southern Denmark
Armelle Guillou: Université de Strasbourg et CNRS
Jing Qin: University of Southern Denmark

Statistical Inference for Stochastic Processes, 2025, vol. 28, issue 3, No 4, 37 pages

Abstract: Abstract We consider the estimation of the marginal expected shortfall $${\mathbb {E}}\left( X_h | Y_0>U_Y(1/p)\right) $$ E X h | Y 0 > U Y ( 1 / p ) at extreme levels, when $$((X_t, Y_t))_{t\in {\mathbb {Z}}}$$ ( ( X t , Y t ) ) t ∈ Z is a strictly stationary $$\beta -$$ β - mixing time series with marginal distributions of Pareto-type, $$U_Y$$ U Y is the tail quantile function associated to $$Y_t$$ Y t , h is a positive integer and $$p\in (0, 1)$$ p ∈ ( 0 , 1 ) is such that $$p\rightarrow 0$$ p → 0 . We propose an estimator for this risk measure based on a Weissman-type construction. First, in case of a non-negative time series, we establish the weak convergence of our estimator by using empirical processes arguments combined with the cluster method of Drees and Rootzén (2010). Then, we extend our result to the case of real-valued time series by using the decomposition of the original time series into the positive and negative parts, and we also propose a bootstrap procedure. The performance of our estimator is illustrated on a simulation experiment. Finally, the method is applied on river flow data.

Keywords: Time series; Mixing; Extreme value theory; Marginal expected shortfall; Empirical process; Bootstrap (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11203-025-09334-9

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