منابع مشابه
Still Fit Generalized Pareto Distributions?
In the literature of analyzing extremes, both generalized Pareto distribution and Pareto distribution are employed to infer the tail of a distribution with a known positive extreme value index. Similar studies exist for a known negative extreme value index. Intuitively, one should not employ the generalized Pareto distribution in case of knowing the sign of the extreme value index. In this pape...
متن کاملShannon entropy in generalized order statistics from Pareto-type distributions
In this paper, we derive the exact analytical expressions for the Shannon entropy of generalized orderstatistics from Pareto-type and related distributions.
متن کاملExploring Heavy Tails Pareto and Generalized Pareto Distributions
This vignette is designed to give a short overview about Pareto Distributions and Generalized Pareto Distributions (GPD). We will work with the SPC.we data of our quantmod vignette. Therefore we have to reproduce the SPC.we data in exactly the same way as described the quantmod vignette. In financial data analysis stock indices as the S&P 500 index are typically analyzed by using the returns of...
متن کاملExploring Heavy Tails Pareto and Generalized Pareto Distributions
This vignette is designed to give a short overview about Pareto Distributions and Generalized Pareto Distributions (GPD). We will work with the SPC.we data of our quantmod vignette. Therefore we have to reproduce the SPC.we data in exactly the same way as described the quantmod vignette. In financial data analysis stock indices as the S&P 500 index are typically analyzed by using the returns of...
متن کاملMulti-Pareto-Ranking Evolutionary Algorithm
This paper proposes a new multi-objective genetic algorithm, called GAME, to solve constrained optimization problems. GAME uses an elitist archive, but it ranks the population in several Pareto fronts. Then, three types of fitness assignment methods are defined: the fitness of individuals depends on the front they belong to. The crowding distance is also used to preserve diversity. Selection is...
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ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincare (B) Probability and Statistics
سال: 2002
ISSN: 0246-0203
DOI: 10.1016/s0246-0203(02)01124-x