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

Liwang Ding, Ping Chen and Li Yongming

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 22, 5455-5467

Abstract: In this paper, we present an inequality of characteristic functions for ψ-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 ψ-mixing random vectors. For its application, we discuss the Berry-Esseen type bounds for conditional value-at-risk estimator based on ψ-mixing sequences, by the suitable choice of some constants, the Berry-Esseen type bounds of the estimator can attain O(n−1/6).

Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2019.1618872 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:49:y:2020:i:22:p:5455-5467

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2019.1618872

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().