宽正交依赖序列的 VaR 和 CVaR 估计值的渐近行为

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-07-06 DOI:10.1007/s11009-024-10093-y

Li Yongming, Li Naiyi, Luo Zhongde, Xing Guodong

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引用次数: 0

摘要

本文考虑了在扩展负相关（END）和广泛正相关（WOD）序列情况下风险价值（VaR）和条件风险价值（CVaR）估计的一些渐近性。基于END和WOD序列，得到了VaR估计器的Bahadur表示和强一致性，并得到了CVaR估计器的强收敛率。此外，基于END序列给出了VaR估计器的渐近正态性。最后，在 WOD 样本的情况下，给出了一些模拟来研究 VaR 和 CVaR 估计器一致性的数值表现。我们的结果扩展并改进了一些相应的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Asymptotic Behaviors of the VaR and CVaR Estimates for Widely Orthant Dependent Sequences

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Asymptotic Behaviors of the VaR and CVaR Estimates for Widely Orthant Dependent Sequences

This paper considers some asymptotics of value-at-risk (VaR) and conditional value-at-risk (CVaR) estimates in the cases of extended negatively dependent (END) and widely orthant dependent (WOD) sequences. The Bahadur representation and strong consistency of VaR estimator are obtained, and the strong convergence rate of CVaR estimator is obtained based on END and WOD sequences. In addition, the asymptotic normality of VaR estimator is given based on END sequence. Finally, some simulations to study the numerical performance of the consistency for VaR and CVaR estimators are given in the case of WOD sample. Our results extend and improve some corresponding results.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.