Risk Analysis via Generalized Pareto Distributions

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

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 کامل

Shannon 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 کامل

shannon 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 کامل

Exploring 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 کامل

Exploring 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 کامل

ذخیره 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: Journal of Business & Economic Statistics

سال: 2021

ISSN: 0735-0015,1537-2707

DOI: 10.1080/07350015.2021.1874390