Tail Conditional Variance for Elliptically Contoured Distributions

By Emiliano A. Valdez. 2004

48 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/25cf23145d0578600bc04b5b22bb88f6394caa53

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. L. Zhu
2. Hengshuai Yao
3. Shangtong Zhang
4. Borislav Mavrin
5. Linglong Kong
6. Kaiwen Wu
7. Yaoliang Yu
8. Haijun Li

Citations in the corpus

• Asymptotic Analysis of Multivariate Tail Conditional Expectations (2012, background): “The tail conditional variance for elliptical distributions is studied in [23].”
• Distributional Reinforcement Learning for Efficient Exploration (2019, methodology): “The Truncated Variance is equivalent to the Tail Conditional Variance (TCV): defined in (Valdez, 2005).”