Asymptotic properties of VaR and CVaR estimators for widely orthant dependent samples

DOI10.20142/j.cnki.amas.202401023MaRDI QIDQ6654097

Yongming Li, Zhongde Luo, Guo-Dong Xing, Naiyi Li

Publication date: 18 December 2024

Published in: Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

zbMATH Keywords

Bahadur representationstrong consistencywidely orthant dependentconditional value-at-risk estimatorvalue-at-risk estimator

Mathematics Subject Classification ID

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

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