The paper investigates the structure of the self-consistent estimators (SCE) and the nonparametric maximum likelihood estimator (NPMLE) for doubly censored data. An explicit sufficient and necessary ...

This is a preview. Log in through your library . Abstract A maximum-penalized-likelihood method is proposed for estimating a mixing distribution and it is shown that this method produces a consistent ...

We use influence functions as a basic tool to study unconditional nonparametric and parametric expected shortfall (ES) estimators with regard to returns data influence, standard errors and coherence.