ρ混合序列下cvar估计的渐近性质-概率论与数理统计专业论文.docxVIP

第 第 IV 页 Abstract and application value to study the asymptotic properties of this estimator under the ρ mixing sequences. In this paper, we have study the asymptotic property of the above CVaR estimator under the ρ mixing random sequences, the main research contents and results are as follows: First of all, the paper discusses the strong consistency property of CVaR estimator in cases where samples are ρ mixing random sequences. And the convergence rate of the strong consis- tency is n?κwhen the ρ mixing random sequences are satisfying certain assumptions, where: (i) When sample moments r ≥ 2, we can take any 0 ≤ κ 1/2; (ii) when 1 ≤ r 2, we can take κ = 1 ? 1/r. Secondly, the paper discusses the uniformly asymptotic normality of CVaR estimator in cases where samples are ρ mixing random sequences, and the convergence rate of uniformly asymptotic normality is given,that the convergence rate of the uniformly asymptotic normality is about n?1/6. Finally, the CVaR of some ρ mixing sequences are random simulated in the paper, and the pros and cons of this optimal estimation method are compared with the order statistics method. We know, through the numerical simulation, that not only this method can deal with ρ mixing data effectively while we are calculating CVaR, but also the error of the optimal method is smaller than the order statistics method, and higher accuracy, particularly, the optimal method there are more significant advantages when the sample size is fewer. As subsequently, the CVaR of the Shanghai Composite Index and the CVaR of the Shenzhen Component Index on China’s stock market are estimated. From the calculating results we know that the CVaR of the Shanghai Composite Index is less than the CVaR of the Shenzhen Component Index under the same probability level, namely, the risk of the Shanghai Composite Index is less than the risk of the Shenzhen Component Index. Key Words: CVaR; Strong consistency; Asymptotic normality; Convergence rate; ρ mixing seque