| 一类混合序列下分位数估计的一致渐近正态性 |
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| 引用本文： | 李永明,张文婷,饶贤清.一类混合序列下分位数估计的一致渐近正态性[J].应用概率统计,2014,30(3):313-321. |
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| 作者姓名： | 李永明 张文婷 饶贤清 |
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| 作者单位： | 上饶师范学院数学系, 广西师范学院数学科学学院 |
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| 摘 要： | 本文在![src=]() 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![src=]() .
所得结果可以应用到风险度量VaR分位数估计.
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| 关 键 词： | alt=" src="http://latex.codecogs.com/gif.latex?\fn_jvn \100dpi \inline $\psi$" />混合序列 分位数估计 VaR 渐近正态性. |
Uniformly Asymptotic Normality of Quantile Estimate for a Kind of Mixing Random Variables |
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| Li Yongming,Zhang Wenting,Rao Xianqing.Uniformly Asymptotic Normality of Quantile Estimate for a Kind of Mixing Random Variables[J].Chinese Journal of Applied Probability and Statisties,2014,30(3):313-321. |
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| Authors: | Li Yongming Zhang Wenting Rao Xianqing |
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| Institution: | Department of Mathematics, Shangrao Normal University; Department of Mathematical Science, Guangxi Teachears Education University |
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| 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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