On some inequalities for ψ-mixing sequences and its applications in conditional value-at-risk estimate

被引：2
|
作者：
Ding, Liwang [1 ,2 ]
Chen, Ping [1 ]
Li Yongming [3 ]
机构：
[1] Nanjing Univ Sci & Technol, Dept Stat & Financial Math, Nanjing 210094, Jiangsu, Peoples R China
[2] Guangxi Univ Finance & Econ, Sch Informat & Stat, Nanning, Peoples R China
[3] Shangrao Normal Univ, Sch Math & Comp Sci, Shangrao, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2020年 / 49卷 / 22期
基金：
中国国家自然科学基金;
关键词：
Characteristic function inequality; psi-mixing sequences; Berry-Esseen type bounds; conditional value-at-risk estimator; ESSEEN;
D O I：
10.1080/03610926.2019.1618872
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we present an inequality of characteristic functions for psi-mixing random vectors, and derive an upper bound for the supremum of the absolute value of the difference of two multivariate probability density functions based on psi-mixing random vectors. For its application, we discuss the Berry-Esseen type bounds for conditional value-at-risk estimator based on psi-mixing sequences, by the suitable choice of some constants, the Berry-Esseen type bounds of the estimator can attain O(n(-1/6)).
引用
收藏
页码：5455 / 5467
页数：13
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