NOD下VaR样本分位数估计的强相合性及其Bahadur表示  

The Bahadur Representation and Strong Consistency of VaR Sample Quantile Estimates under NOD

作　　者：姚竟[1] 李永明[2] 

机构地区：[1]广西师范学院数学与统计科学学院,广西南宁530023 [2]上饶师范学院数学系,江西上饶334001

出　　处：《广西师范学院学报（自然科学版）》2015年第3期18-22,共5页Journal of Guangxi Teachers Education University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(11461057);江西省自然科学基金项目(20122BAB201007)

摘　　要：利用NOD样本的性质及其相关不等式,研究了在NOD序列情况下,风险度量VaR非参数估计量的性质.证明了VaR样本分位数估计的强相合性,同时也给出了VaR样本分位数估计的Bahadur表示.The main purpose of this work is to research the nature of the risk measure VaR nonparametric estimator to the cane of NOD sequence by using the properties of NOD sample and its related inequalities;The research proved the strong consistency of the VaR sample quantile estimates;In addition,we also list the Bahadurs representation of VaR sample quantile estimates.

关 键 词：NOD序列 VAR估计 BAHADUR表示 强相合性 

分 类 号：O212.7[理学—概率论与数理统计]