Tail approximations to the density function in EVT
نویسندگان
چکیده
منابع مشابه
Approximations to the Tail Empirical Distribution Function with Application to Testing Extreme Value Conditions
Weighted approximations to the tail of the distribution function and its empirical counterpart are derived which are suitable for applications in extreme value statistics. The approximation of the tail empirical distribution function is then used to develop an Anderson-Darling type test of the null hypothesis that the distribution function belongs to the domain of attraction of an extreme value...
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While the extreme value statistics for i.i.d. data is well developed, much less is known about the asymptotic behavior of statistical procedures in the presence of dependence. We establish convergence of tail empirical processes to Gaussian limits for {mixing stationary time series. As a consequence one obtains weighted approximations of the tail empirical quantile function that is based on a r...
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chapter i provides an overview of structural linguistics and touches upon the saussurean dichotomies with the final goal of exploring their relevance to the stylistic studies of literature. to provide evidence for the singificance of the study, chapter ii deals with the controversial issue of linguistics and literature, and presents opposing views which, at the same time, have been central to t...
15 صفحه اولTail Approximations for Portfolio Credit Risk
This paper develops approximations for the distribution of losses from default in a normal copula framework for credit risk. We put particular emphasis on approximating small probabilities of large losses, as these are the main requirement for calculation of value at risk and related risk measures. Our starting point is an approximation to the rate of decay of the tail of the loss distribution ...
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ژورنال
عنوان ژورنال: Extremes
سال: 2006
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-006-0013-z