Approximating sums of products of dependent random variables

DOI10.1016/J.SPL.2020.108803MaRDI QIDQ2006751zbMATH OpenOpenAlexFDO

Authors Elżbieta Krajewska, L. Gajek

Publication date 12 October 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.spl.2020.108803

zbMATH Keywords

value-at-riskmaximal inequalitiessums of products of random variablesconvergence of submartingalestime series approximation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Generalizations of martingales (60G48) Stochastic processes (60G99)

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Cites work

• scientific article; zbMATH DE number 1232374 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• scientific article; zbMATH DE number 3194838 (Why is no real title available?)
• A new immunization inequality for random streams of assets, liabilities and interest rates
• Asymptotics of randomly weighted image- and image-statistics: application to bootstrap
• Moment inequalities for sums of products of independent random variables
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

Cited in

(1)

• Robust portfolio choice under the interest rate uncertainty

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