渐近负相关样本的条件风险价值估计的渐近特性

IF 1.5 3区数学 Q1 MATHEMATICS

Journal of Inequalities and Applications 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

Journal of Inequalities and Applications 数学-数学

自引率

6.20%

发文量

136

期刊介绍： The aim of this journal is to provide a multi-disciplinary forum of discussion in mathematics and its applications in which the essentiality of inequalities is highlighted. This Journal accepts high quality articles containing original research results and survey articles of exceptional merit. Subject matters should be strongly related to inequalities, such as, but not restricted to, the following: inequalities in analysis, inequalities in approximation theory, inequalities in combinatorics, inequalities in economics, inequalities in geometry, inequalities in mechanics, inequalities in optimization, inequalities in stochastic analysis and applications.