The almost sure convergence rate of the estimator of optimized certainty equivalent risk measure under α-mixing sequences

DOI10.1080/03610926.2016.1175630zbMath1376.62020OpenAlexW2489040953MaRDI QIDQ5367295

Zhongde Luo, Shide Ou

Publication date: 12 October 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1175630

zbMATH Keywords

convergence raterisk measureestimator\(\alpha\)-mixingconditional value-at-riskCVaRstrong laws of large numberoptimized certainty equivalentOCE

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Strong limit theorems (60F15)

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

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