Asymptotic properties of VaR and CVaR estimators for widely orthant dependent samples

DOI10.20142/J.CNKI.AMAS.202401023MaRDI QIDQ6654097zbMATH OpenFDO

Authors Yongming Li, Zhongde Luo, Naiyi Li, Guo-Dong Xing

Publication date 18 December 2024

Published in Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.20142/J.CNKI.AMAS.202401023

zbMATH Keywords

Bahadur representationconditional value-at-risk estimatorstrong consistencyvalue-at-risk estimatorwidely orthant dependent

Mathematics Subject Classification ID

Foundations of stochastic processes (60G05) Asymptotic properties of nonparametric inference (62G20)

Cites work

• An inequality of widely dependent random variables and its applications
• Approximation Theorems of Mathematical Statistics
• Asymptotic properties of the Kaplan-Meier estimator and hazard rate estimator for right censored and widely orthant dependent data
• Basic renewal theorems for random walks with widely dependent increments
• Coherent measures of risk
• Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
• On complete convergence for widely orthant-dependent random variables and its applications in nonparametric regression models
• On consistency of the weighted least squares estimators in a semiparametric regression model
• On some inequalities for ψ-mixing sequences and its applications in conditional value-at-risk estimate
• Some remarks on the value-at-risk and the conditional value-at-risk
• Strong Consistency of Conditional Value-at-risk Estimate for ϕ-mixing Samples
• The asymptotic properties of CVaR estimator under mixing sequences
• The Bahadur representation for sample quantiles under strongly mixing sequence
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate

This page was built for publication: Asymptotic properties of VaR and CVaR estimators for widely orthant dependent samples

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6654097)