Strong Consistency of Conditional Value-at-risk Estimate for ϕ-mixing Samples

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

zbMATH Keywords

strong consistency\(\varphi\)-mixing samplesconditional value-at-risk estimate

Mathematics Subject Classification ID

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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