ygeunkim/ceshat: Nonparametric Estimation of Conditional Expected Shortfall

Nonparametric ways to estimate conditional value at risk (expected shortfall), and conditional expected shortfall.

Getting started

Package details

Authorperson("Young-geun", "Kim", email = "dudrmshub@gmail.com", role = c("aut", "cre"))
MaintainerYoung-geun Kim <dudrms33@g.skku.edu>
LicenseMIT + file LICENSE
URL https://github.com/ygeunkim
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
ygeunkim/ceshat documentation built on Dec. 16, 2019, 12:39 p.m.