Is the estimation of the CVAR using known non-parametric methods (histogram , kernels) is different than the estimation of any other R.V.?

If the answer is yes, then I am interested to know whether there are some non-parametric methods for CVAR estimation which are also consistent.


  • $\begingroup$ what is R.V.? What do you mean by consistent estimator for Expected Shortfall? As if sounds like most CVAR estimators are not consistent?? $\endgroup$ – adam Feb 29 '16 at 15:37

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