Modelling extreme values by the residual coefficient of variation
Castillo, Joan del (Universitat Autònoma de Barcelona. Secció de Matemàtiques)
Padilla Cozar , Maria

Date: 2016
Abstract: The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection algorithm. One of the main contributions is to extend the methodology based on moments to all distributions, even without finite moments. These techniques are applied to euro/dollar daily exchange rates and to Danish fire insurance losses.
Rights: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Language: Anglès.
Document: article ; recerca ; publishedVersion
Subject: Statistics of extremes ; Heavy tails ; High quantile estimation ; Value at risk
Published in: SORT : statistics and operations research transactions, Vol. 40 Núm. 2 (July-December 2016) , p. 303-320 (Articles) , ISSN 1696-2281

Adreça original: https://www.raco.cat/index.php/SORT/article/view/316240


18 p, 986.2 KB

The record appears in these collections:
Articles > Published articles > SORT
Articles > Research articles

 Record created 2017-01-10, last modified 2018-07-14



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