Rates of Convergence for Densities in Extreme Value Theory
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 اولSecond{Order Regular Variation and Rates of Convergence in Extreme{Value Theory
Rates of convergence of the distribution of the extreme order statistic to its limit distribution are given in the uniform metric and the total variation metric. A second{order regular variation condition is imposed by supposing a von Mises type condition which allows a uniied treatment. Rates are constructed from the parameters of the second{order regular variation condition. Some connections ...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1988
ISSN: 0091-1798
DOI: 10.1214/aop/1176991768