渐近负相关样本的条件风险价值估计的渐近特性

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-09-06 DOI:10.1186/s13660-024-03191-5

Rong Jin, Xufei Tang, Kan Chen

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引用次数: 0

摘要

本文研究了在温和条件下，渐近负相关（ANA 或简称 $\rho ^{-}$）随机样本的条件风险值（CVaR）估计值的强一致性。结果表明，在某些适当的条件下，最优率可以达到近 $O (n^{-1/2})$。此外，我们还给出了数值模拟和真实数据示例，以证实我们基于有限样本的理论结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Asymptotic properties of conditional value-at-risk estimate for asymptotic negatively associated samples

This article examines the strong consistency of the conditional value-at-risk (CVaR) estimate for asymptotic negatively associated (ANA or $\rho ^{-}$ , for short) random samples under mild conditions. It is demonstrated that the optimal rate can achieve nearly $O (n^{-1/2})$ under certain appropriate conditions. Furthermore, we present numerical simulations and a real data example to corroborate our theoretical results based on finite samples.

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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.