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

If the answer is yes, 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
  • $\begingroup$ Probably R.V. = Random Variable $\endgroup$ – Alex C May 7 at 19:13
  • 1
    $\begingroup$ I would say that it's not different at all. Cut your losses sample at the chosen quantile and average the result. $\endgroup$ – Lisa Ann May 8 at 9:08

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