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Asymptotic behavior of estimators of entropic risk measures under asymmetric Laplace law

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摘要 In this paper,we study several asymptotic behaviors of the estimators of convex and coherent entropic risk measures.First,the moderate deviation principles of the estimators are given.Second,the central limit theorems of the estimators are given.Finally,several simulation results are given to support our main conclusions.
作者 Jun Yan Yue Yin
出处 《International Journal of Modeling, Simulation, and Scientific Computing》 EI 2020年第5期131-146,共16页 建模、仿真和科学计算国际期刊(英文)
基金 supported by the National Natural Science Foundation of China(Nos.11701502,71971190).
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