Estimating quantiles with Linex loss function. Applications to VaR estimation
نویسندگان
چکیده
منابع مشابه
BAYES ESTIMATION USING A LINEX LOSS FUNCTION
This paper considers estimation of normal mean ? when the variance is unknown, using the LINEX loss function. The unique Bayes estimate of ? is obtained when the precision parameter has an Inverse Gaussian prior density
متن کاملEstimating a Bounded Normal Mean Under the LINEX Loss Function
Let X be a random variable from a normal distribution with unknown mean θ and known variance σ2. In many practical situations, θ is known in advance to lie in an interval, say [−m,m], for some m > 0. As the usual estimator of θ, i.e., X under the LINEX loss function is inadmissible, finding some competitors for X becomes worthwhile. The only study in the literature considered the problem of min...
متن کاملEstimating a Bounded Normal Mean Under the LINEX Loss Function
Let X be a random variable from a normal distribution with unknown mean θ and known variance σ2. In many practical situations, θ is known in advance to lie in an interval, say [−m,m], for some m > 0. As the usual estimator of θ, i.e., X under the LINEX loss function is inadmissible, finding some competitors for X becomes worthwhile. The only study in the literature considered the problem of min...
متن کاملestimating a bounded normal mean under the linex loss function
let x be a random variable from a normal distribution with unknown mean θ and known variance σ2. in many practical situations, θ is known in advance to lie in an interval, say [−m,m], for some m > 0. as the usual estimator of θ, i.e., x under the linex loss function is inadmissible, finding some competitors for x becomes worthwhile. the only study in the literature considered the problem of min...
متن کاملBayesian Estimation for the Pareto Income Distribution under Asymmetric LINEX Loss Function
The use of the Pareto distribution as a model for various socio-economic phenomena dates back to the late nineteenth century. In this paper, after some necessary preliminary results we deal with Bayes estimation of some of the parameters of interest under an asymmetric LINEX loss function, using suitable choice of priors when the scale parameter is known and unknown. Results of a Monte C...
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ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 2005
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am32-4-1