Approximating sums of products of dependent random variables

DOI10.1016/J.SPL.2020.108803zbMath1455.60048OpenAlexW3020942151MaRDI QIDQ2006751

Elżbieta Krajewska, Lestaw Gajek

Publication date: 12 October 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108803

zbMATH Keywords

value-at-riskmaximal inequalitiessums of products of random variablesconvergence of submartingalestime series approximation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Generalizations of martingales (60G48) Stochastic processes (60G99)

Related Items (1)

Robust portfolio choice under the interest rate uncertainty

Cites Work

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• Moment inequalities for sums of products of independent random variables
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• A new immunization inequality for random streams of assets, liabilities and interest rates
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Asymptotics of randomly weighted image- and image-statistics: application to bootstrap

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