Strong Consistency of Conditional Value-at-risk Estimate for ϕ-mixing Samples
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Publication:5177607
DOI10.1080/03610926.2012.712190zbMath1332.60047OpenAlexW2023537888MaRDI QIDQ5177607
Yongming Li, Guo-Dong Xing, Shan-chao Yang
Publication date: 13 March 2015
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.712190
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Strong limit theorems (60F15)
Related Items (3)
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
Cites Work
- Maximal inequalities for partial sums of \(\rho\)-mixing sequences
- Every ``lower psi-mixing Markov chain is ``interlaced rho-mixing
- Coherent Measures of Risk
- On Strong Mixing Conditions for Stationary Gaussian Processes
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Extreme Value Theory as a Risk Management Tool
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