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Strong Consistency of Conditional Value-at-risk Estimate for ϕ-mixing Samples

Guo-Dong Xing, Shan-Chao Yang and Yong-Ming Li

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 23, 5105-5113

Abstract: In this article, we investigate the strong consistency of conditional value-at-risk estimate for ϕ −mixing samples under mild conditions. Moreover, the corresponding strong consistency rate is also obtained.

Date: 2014
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DOI: 10.1080/03610926.2012.712190

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