一类混合序列下分位数估计的一致渐近正态性

Uniformly Asymptotic Normality of Quantile Estimate for a Kind of Mixing Random Variables

  • 摘要: 本文在混合序列下, 研究了分位数估计的一致渐近正态性. 在一定条件下其收敛速度达到. 所得结果可以应用到风险度量VaR分位数估计.

     

    Abstract: In this paper, under -mixing random variables, we discuss the uniformly asymptotic normality of the quantile estimate and give its rate. The rate of normal approximation is shown as , under some certain conditions. The result can apply to the VaR quantile estimator.

     

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