Maximal moment inequalities for partial sums of ρ-mixing random variables with application to conditional value-at-risk estimator

Qingqing Kang, Guo-dong Xing, Shanchao Yang and Zhiyong Chen

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 5, 1457-1471

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.

Date: 2023
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DOI: 10.1080/03610926.2021.1928203

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