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

DOI10.1080/03610926.2016.1175630zbMATH Open1376.62020OpenAlexW2489040953MaRDI QIDQ5367295FDOQ5367295

Authors: 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

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zbMATH Keywords

\(\alpha\)-mixingconvergence rateconditional value-at-riskrisk measureCVaRestimatorstrong laws of large numberoptimized certainty equivalentOCE

Mathematics Subject Classification ID

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

Cited In (3)

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

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