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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-10-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/21/11/1031 |