Maximal moment inequalities for partial sums of ρ-mixing random variables with application to conditional value-at-risk estimator. Issue 5 (4th March 2023)
- Record Type:
- Journal Article
- Title:
- Maximal moment inequalities for partial sums of ρ-mixing random variables with application to conditional value-at-risk estimator. Issue 5 (4th March 2023)
- Main Title:
- Maximal moment inequalities for partial sums of ρ-mixing random variables with application to conditional value-at-risk estimator
- Authors:
- Kang, Qingqing
Xing, Guo-dong
Yang, Shanchao
Chen, Zhiyong - Abstract:
- Abstract: Maximal moment inequalities for partial sums of ρ -mixing random variables are established, which use some moment summations as upper bound. As application, we investigate strong consistency of conditional value-at-risk estimator for ρ -mixing samples and give the corresponding convergence rate.
- Is Part Of:
- Communications in statistics. Volume 52:Issue 5(2023)
- Journal:
- Communications in statistics
- Issue:
- Volume 52:Issue 5(2023)
- Issue Display:
- Volume 52, Issue 5 (2023)
- Year:
- 2023
- Volume:
- 52
- Issue:
- 5
- Issue Sort Value:
- 2023-0052-0005-0000
- Page Start:
- 1457
- Page End:
- 1471
- Publication Date:
- 2023-03-04
- Subjects:
- Maximal moment inequalities -- ρ-mixing -- conditional value-at-risk -- strong consistency -- convergence rate
60G05 -- 62G20
Mathematical statistics -- Periodicals
Mathematics
Statistics
519.2 - Journal URLs:
- http://www.tandfonline.com/ ↗
- DOI:
- 10.1080/03610926.2021.1928203 ↗
- Languages:
- English
- ISSNs:
- 0361-0926
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3363.432000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 25714.xml