Lin Fan

Stanford University

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Change-Point Testing for Risk Measures in Time Series

Number of pages: 35 Posted: 21 Aug 2023
Lin Fan, Peter Glynn and Markus Pelger
Stanford University, Stanford University and Stanford University - Department of Management Science & Engineering
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Abstract:

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Time Series, Risk Measure, Change-Point Test, Confidence Interval, Self-Normalization, Sectioning, Expected Shortfall, Unsupervised Change Point Detection