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

页码：5455 / 5467

页数：13

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