Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences

DOI10.1007/S00362-017-0952-2zbMath1435.62126OpenAlexW2762617281MaRDI QIDQ2306884

Zhongde Luo

Publication date: 27 March 2020

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-017-0952-2

zbMATH Keywords

MSEoptimal bandwidth\(\alpha\)-mixing sequencenonparametric kernel estimatoruniformly asymptotic normalityconditional value-at-risk (CVaR)Bahadur type expansion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (4)

Nonparametric kernel estimation of expected shortfall under negatively associated sequences ⋮ On some inequalities for ψ-mixing sequences and its applications in conditional value-at-risk estimate ⋮ Strong laws for weighted sums of \(m\)-extended negatively dependent random variables and its applications ⋮ Strong convergence properties for weighted sums of \(m\)-asymptotic negatively associated random variables and statistical applications

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