Approximating sums of products of dependent random variables

DOI10.1016/J.SPL.2020.108803zbMATH Open1455.60048OpenAlexW3020942151MaRDI QIDQ2006751FDOQ2006751

Authors: Elżbieta Krajewska, L. Gajek 

Publication date: 12 October 2020

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

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

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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)

Cites Work

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• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• Moment inequalities for sums of products of independent random variables
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• A new immunization inequality for random streams of assets, liabilities and interest rates
• Asymptotics of randomly weighted image- and image-statistics: application to bootstrap

Cited In (1)

• Robust portfolio choice under the interest rate uncertainty

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