Deviation inequalities for an estimator of the conditional value-at-risk
文献类型：期刊论文
| 作者 | Wang, Ying1; Gao, Fuqing2 |
| 刊名 | OPERATIONS RESEARCH LETTERS
 |
| 出版日期 | 2010-05-01 |
| 卷号 | 38期号:3页码:236-239 |
| 关键词 | Conditional value-at-risk Deviation inequality Estimator |
| ISSN号 | 0167-6377 |
| DOI | 10.1016/j.orl.2009.11.008 |
| 英文摘要 | In this paper, we present a deviation inequality for a common estimator of the conditional value-at-risk for bounded random variables. The result improves a deviation inequality which is obtained by Brown [D.B. Brown, Large deviations bounds for estimating conditional value-at-risk, Operations Research Letters 35 (2007) 722-730]. (C) 2009 Elsevier B.V. All rights reserved. |
| 资助项目 | NSF of China[10871153] |
| WOS研究方向 | Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000277721200018 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/10517]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wang, Ying |
| 作者单位 | 1.Chinese Acad Sci, Inst Appl Math, AMSS, Beijing 100190, Peoples R China 2.Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, Ying,Gao, Fuqing. Deviation inequalities for an estimator of the conditional value-at-risk[J]. OPERATIONS RESEARCH LETTERS,2010,38(3):236-239. |
| APA | Wang, Ying,&Gao, Fuqing.(2010).Deviation inequalities for an estimator of the conditional value-at-risk.OPERATIONS RESEARCH LETTERS,38(3),236-239. |
| MLA | Wang, Ying,et al."Deviation inequalities for an estimator of the conditional value-at-risk".OPERATIONS RESEARCH LETTERS 38.3(2010):236-239. |
入库方式： OAI收割
来源：数学与系统科学研究院
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