ρ-混合样本下VaR样本分位数估计的Bahadur表示

Bahadur Representation of the Sample Quantile Estimator under ρ-mixing Sample

利用ρ-混合样本的两个不等式,研究了ρ-混合序列情况下,风险度量VaR非参数估计的性质,给出了VaR样本分位数估计的Bahadur表示,即本文的定理1,并且根据定理1的结论,证明了VaR样本分位数估计的渐进正态性。

By using-mixing sample inequality, some nonparametric properties of the VaR risk measurement were researched undermixing sample. The Bahadur representation of the VaR sample quantiles estimation is obtained, namely Theorem 1.And according to the result of Theorem 1, the asymptotic normality of the VaR sample quantile estimation is proved.