Multivariate Shortfall and Divergence Risk Statistics

The aim of this paper is to construct two new classes of multivariate risk statistics, and to study their properties. We, first, introduce the multivariate shortfall risk statistics and multivariate divergence risk statistics. Then, their basic properties are studied, and their representation result...

Descripción completa

Detalles Bibliográficos
Autores principales: Song, Haiyan, Zeng, Xianfu, Chen, Yanhong, Hu, Yijun
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2019
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514335/
http://dx.doi.org/10.3390/e21111031
_version_ 1783586564414111744
author Song, Haiyan
Zeng, Xianfu
Chen, Yanhong
Hu, Yijun
author_facet Song, Haiyan
Zeng, Xianfu
Chen, Yanhong
Hu, Yijun
author_sort Song, Haiyan
collection PubMed
description The aim of this paper is to construct two new classes of multivariate risk statistics, and to study their properties. We, first, introduce the multivariate shortfall risk statistics and multivariate divergence risk statistics. Then, their basic properties are studied, and their representation results are provided. Furthermore, their coherency is also characterized by means of the corresponding loss function. Finally, entropic risk statistics are given to illustrate the proposed new classes of multivariate risk statistics. The relationship between multivariate shortfall and divergence risk statistics is also discussed.
format Online
Article
Text
id pubmed-7514335
institution National Center for Biotechnology Information
language English
publishDate 2019
publisher MDPI
record_format MEDLINE/PubMed
spelling pubmed-75143352020-11-09 Multivariate Shortfall and Divergence Risk Statistics Song, Haiyan Zeng, Xianfu Chen, Yanhong Hu, Yijun Entropy (Basel) Article The aim of this paper is to construct two new classes of multivariate risk statistics, and to study their properties. We, first, introduce the multivariate shortfall risk statistics and multivariate divergence risk statistics. Then, their basic properties are studied, and their representation results are provided. Furthermore, their coherency is also characterized by means of the corresponding loss function. Finally, entropic risk statistics are given to illustrate the proposed new classes of multivariate risk statistics. The relationship between multivariate shortfall and divergence risk statistics is also discussed. MDPI 2019-10-24 /pmc/articles/PMC7514335/ http://dx.doi.org/10.3390/e21111031 Text en © 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Song, Haiyan
Zeng, Xianfu
Chen, Yanhong
Hu, Yijun
Multivariate Shortfall and Divergence Risk Statistics
title Multivariate Shortfall and Divergence Risk Statistics
title_full Multivariate Shortfall and Divergence Risk Statistics
title_fullStr Multivariate Shortfall and Divergence Risk Statistics
title_full_unstemmed Multivariate Shortfall and Divergence Risk Statistics
title_short Multivariate Shortfall and Divergence Risk Statistics
title_sort multivariate shortfall and divergence risk statistics
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514335/
http://dx.doi.org/10.3390/e21111031
work_keys_str_mv AT songhaiyan multivariateshortfallanddivergenceriskstatistics
AT zengxianfu multivariateshortfallanddivergenceriskstatistics
AT chenyanhong multivariateshortfallanddivergenceriskstatistics
AT huyijun multivariateshortfallanddivergenceriskstatistics

Ejemplares similares