Estimation of Spectral Risk Measures

22 Dec 2019Ajay Kumar PandeyPrashanth L. A.Sanjay P. Bhat

We consider the problem of estimating a spectral risk measure (SRM) from i.i.d. samples, and propose a novel method that is based on numerical integration... (read more)

PDF Abstract


No code implementations yet. Submit your code now


Results from the Paper

  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.

Methods used in the Paper

🤖 No Methods Found Help the community by adding them if they're not listed; e.g. Deep Residual Learning for Image Recognition uses ResNet