Journal of Inequalities and Applications (Sep 2024)

Asymptotic properties of conditional value-at-risk estimate for asymptotic negatively associated samples

  • Rong Jin,
  • Xufei Tang,
  • Kan Chen

DOI
https://doi.org/10.1186/s13660-024-03191-5
Journal volume & issue
Vol. 2024, no. 1
pp. 1 – 15

Abstract

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Abstract This article examines the strong consistency of the conditional value-at-risk (CVaR) estimate for asymptotic negatively associated (ANA or ρ − $\rho ^{-}$ , for short) random samples under mild conditions. It is demonstrated that the optimal rate can achieve nearly O ( n − 1 / 2 ) $O (n^{-1/2})$ under certain appropriate conditions. Furthermore, we present numerical simulations and a real data example to corroborate our theoretical results based on finite samples.

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