Estimation of the extreme-value index and generalized quantile plots
نویسندگان
چکیده
منابع مشابه
high volatility, thick tails and extreme value theory in value at risk estimation: the case of liability insurance in iran insurance company
در این بررسی ابتدا به بررسی ماهیت توزیع خسارات پرداخته میشود و از روش نظریه مقادیر نهایی برای بدست آوردن برآورد ارزش در معرض خطر برای خسارات روزانه بیمه مسئولیت شرکت بیمه ایران استفاده میشود. سپس کارایی نظریه مقدار نهایی در برآورد ارزش در معرض خطر با کارایی سایر روشهای واریانس ، کواریانس و روش شبیه سازی تاریخی مورد مقایسه قرار میگیرد. نتایج این بررسی نشان میدهند که توزیع ،garch شناخته شده مدل...
15 صفحه اولGeneralized Pickands estimators for the extreme value index
The Pickands estimator for the extreme value index is generalized in a way that includes all of its previously known variants. A detailed study of the asymptotic behavior of the estimators in the family serves to determine its optimally performing members. These are given by simple, explicit formulas, have the same asymptotic variance as the maximum likelihood estimator in the generalized Paret...
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Received November 2002; revised June 2003. Supported by Netherlands Organization for Scientific Research through the Netherlands Mathematical Research Foundation and by the Heisenberg program of the DFG. Supported in part by POCTI/FCT/FEDER. AMS 2000 subject classifications. Primary 62G32; secondary 62G20.
متن کاملMEAN-OF-ORDER-p LOCATION-INVARIANT EXTREME VALUE INDEX ESTIMATION
• A simple generalisation of the classical Hill estimator of a positive extreme value index (EVI) has been recently introduced in the literature. Indeed, the Hill estimator can be regarded as the logarithm of the mean of order p = 0 of a certain set of statistics. Instead of such a geometric mean, we can more generally consider the mean of order p (MOP) of those statistics, with p real, and eve...
متن کاملImproving Second Order Reduced Bias Extreme Value Index Estimation
• Classical extreme value index estimators are known to be quite sensitive to the number k of top order statistics used in the estimation. The recently developed second order reduced-bias estimators show much less sensitivity to changes in k. Here, we are interested in the improvement of the performance of reduced-bias extreme value index estimators based on an exponential second order regressi...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2005
ISSN: 1350-7265
DOI: 10.3150/bj/1137421635