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

DOI10.1080/03610926.2021.1928203OpenAlexW3164150468MaRDI QIDQ6107578

Qingqing Kang, Guo-Dong Xing, Zhi-yong Chen, Shan-chao Yang

Publication date: 3 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1928203

zbMATH Keywords

convergence ratestrong consistency\(\rho\)-mixingconditional value-at-riskmaximal moment inequalities

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Foundations of stochastic processes (60G05)

Cites Work

• Multilinear forms and measures of dependence between random variables
• Every ``lower psi-mixing Markov chain is ``interlaced rho-mixing
• On Strong Mixing Conditions for Stationary Gaussian Processes
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