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Conditional expectations in network traffic estimation

✍ Scribed by I.H. Dinwoodie

Book ID
104303229
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
75 KB
Volume
47
Category
Article
ISSN
0167-7152

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✦ Synopsis

We describe a fast Monte Carlo method for computing conditional expectations that arise in a ΓΏxed point equation in a problem of network tra c estimation.

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On estimating the conditional expected shortfall
✍ Franco Peracchi; Andrei V. Tanase πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 492 KB

## Abstract Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable __Y__~__t__~ with special reference to the case when auxiliary information is available in the form of a set of predictors