Advanced search
Publication Cover
Communications in Statistics - Theory and Methods Volume 52, 2023 - Issue 5
Submit an article Journal homepage
94
Views
0
CrossRef citations to date
0
Altmetric
Article

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

Qingqing Kanga School of Mathematics and Statistics, Hefei Normal University, Hefei, ChinaView further author information
,
Guo-dong Xinga School of Mathematics and Statistics, Hefei Normal University, Hefei, ChinaCorrespondence[email protected] [email protected]
View further author information
,
Shanchao Yangb School of Mathematics and Statistics, Guangxi Normal University, Guilin, ChinaView further author information
&
Zhiyong Chenc College of Mathematics and Informatics, Fujian Normal University, Fuzhou, ChinaView further author information
Pages 1457-1471 | Received 31 Aug 2020, Accepted 05 May 2021, Published online: 23 May 2021

References

  • Alexandre Trindade, A., S. Uryasev, A. Shapiro, and G. Zrazhevsky. 2007. Financial prediction with constrained tail risk. Journal of Banking & Finance 31 (11):3524–38. doi:10.1016/j.jbankfin.2007.04.014.
  • Bradley, R. C. 1997. Every “lower psi-mixing” Markov chain is “interlaced rho-mixing. Stochastic Processes and Their Applications 72 (2):221–39. doi:10.1016/S0304-4149(97)00090-2.
  • Bradley, R. C., and W. Bryc. 1985. Multilinear forms and measures of dependence between random variables. Journal of Multivariate Analysis 16 (3):335–67. doi:10.1016/0047-259X(85)90025-9.
  • Kolmogorov, A. N., and U. A. Rozanov. 1960. On the strong mixing conditions for stationary Gaussion process. Theory of Probability & Its Applications 5 (2):204–8. doi:10.1137/1105018.
  • Rosenblatt, M. 1971. Markov processes, structure and asymptotic behavior. Berlin: Springer-Verlag, 216–7.
  • Shao, Q. 1989. Complete convergence for ρ-mixing sequences. Acta Mathematica Sinica (in Chinese) 32:377–93.
  • Shao, Q. 1995. Maximal inequalities for partial sums of ρ-mixing sequences. The Annals of Probability 23 (2):948–65. doi:10.1214/aop/1176988297.
  • Yang, S. 1997. Moment inequality for mixing sequences and nonparametric estimation. Acta Mathematica Sinica 40:271–9 (in Chinese).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.