| 引用本文： |
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杨秀桃,杨善朝,韦香兰.ρ-混合序列VaR核估计的强收敛性和Bahadur表达[J].广西科学,2008,15(2):131-134. [点击复制]
- YANG Xiu-tao,YANG Shan-chao,WEI Xiang-lan.Strong Convergence and Bahadur Representation of the Kernel Estimation of Value at Risk on ρ-mixing Sequences[J].Guangxi Sciences,2008,15(2):131-134. [点击复制]
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| 摘要: |
| 在d-混合序列下,运用矩不等式讨论VaR核估计ĝp,h的强收敛性和Bahadur表达,得到2个a.s.收敛定理. |
| 关键词: 混合序列 VaR 强收敛 Bahadur表达 矩不等式 |
| DOI： |
| 投稿时间：2007-12-04修订日期：2007-12-10 |
| 基金项目:国家自然科学基金项目(10661003);广西自然科学基金项目(0728091);广西研究生教育创新计划项目(2007106020701M49)资助 |
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| Strong Convergence and Bahadur Representation of the Kernel Estimation of Value at Risk on ρ-mixing Sequences |
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YANG Xiu-tao, YANG Shan-chao, WEI Xiang-lan
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| (College of Mathematics Science, Guangxi Normal University, Guilin, Guangxi, 541004, China) |
| Abstract: |
| The strong convergence and Bahadur's representation of ĝp, h for d-mixing series, which is the kernel estimation of VaR are discussed by using moment inequalities, and geting the two convergense theorem. |
| Key words: mixing sequence value at risk strong convergence Bahadur's representation moment inequalities |
