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Asymptotic normality of the Conditional Value-at-Risk based Pickands estimator

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  • Li, Yizhou
  • Polak, Paweł

Abstract

We show weak convergence of the empirical Conditional Value-at-Risk (CVaR) in functional space and the asymptotic normality of the CVaR-based Pickands estimator from Chen (2021). These results demonstrate that the CVaR-based estimator has significantly lower asymptotic variance than analogous VaR-based constructions.

Suggested Citation

  • Li, Yizhou & Polak, Paweł, 2025. "Asymptotic normality of the Conditional Value-at-Risk based Pickands estimator," Statistics & Probability Letters, Elsevier, vol. 223(C).
    • Handle: RePEc:eee:stapro:v:223:y:2025:i:c:s0167715225000562
    DOI: 10.1016/j.spl.2025.110411
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