On maximum likelihood estimation of the extreme value index
نویسندگان
چکیده
منابع مشابه
On Maximum Likelihood Estimation of the Extreme Value Index
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 کاملMaximum likelihood estimators for the extreme value index based on the block maxima method
The maximum likelihood method offers a standard way to estimate the three parameters of a generalized extreme value (GEV) distribution. Combined with the block maxima method, it is often used in practice to assess the extreme value index and normalization constants of a distribution satisfying a first order extreme value condition, assuming implicitely that the block maxima are exactly GEV dist...
متن کاملMaximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme-value Distribution
Consider a random sample from a bivariate distribution function F in the max-domain of attraction of an extreme-value distribution function G. This G is characterized by two extreme-value indices and a spectral measure, the latter determining the tail dependence structure of F . A major issue in multivariate extreme-value theory is the estimation of the spectral measure Φp with respect to the L...
متن کاملhigh 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 اولMaximum Likelihood Estimation of Parameters in Generalized Functional Linear Model
Sometimes, in practice, data are a function of another variable, which is called functional data. If the scalar response variable is categorical or discrete, and the covariates are functional, then a generalized functional linear model is used to analyze this type of data. In this paper, a truncated generalized functional linear model is studied and a maximum likelihood approach is used to esti...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2004
ISSN: 1050-5164
DOI: 10.1214/105051604000000279