Sebaran Generalized Extreme Value (GEV) Dan Generalized Pareto (GP) untuk Pendugaan Curah Hujan Ekstrim di Wilayah DKI Jakarta
نویسندگان
چکیده
منابع مشابه
Characteristics of Generalized Extreme Value Distributions
This note is concerned with joint probability distributions whose one-dimensional marginal distributions are Extreme Value Type 1 (EV1); i.e., Prob(Uj # uj) = exp(-exp(:(uj-vj)), where the vj are location parameters and : is a common scale factor. Call these Generalized Extreme Value (GEV) distributions. GEV distributions have application in the study of discrete choice behavior, and were initi...
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Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a new risk measure, based on the General...
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ژورنال
عنوان ژورنال: Al-Jabar : Jurnal Pendidikan Matematika
سال: 2016
ISSN: 2540-7562,2086-5872
DOI: 10.24042/ajpm.v7i1.137