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Könyv Kernel Methods and Estimation of Extreme Value Index Xiaodong Jin

Kernel Methods and Estimation of Extreme Value Index

Szerző: Xiaodong Jin
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: VDM Verlag
Elérhetőség: Beszállítói készleten
Küldés 14-21 napon belül
26 462 Ft
This book is a blend of rigorous probability §theories and interesting statistical methodologies. §I...

Információk a könyvről

Szerző
Xiaodong Jin
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2008
oldal
204
EAN
9783639106060
ISBN
3639106067
Enbook ID
06819569
Kiadó
VDM Verlag
Súly
281
Méretek
152 x 229 x 11

Teljes leírás

This book is a blend of rigorous probability §theories and interesting statistical methodologies. §It contains two parts. In Part I we propose two new §asymmetric kernels called Birnbaum-Saunders and §Lognormal kernels. These two kernels can be applied §to the estimation of the probability density §functions of ultra-high frequency financial data. In §Part II we study in detail the domain of attraction §(DOA) approach for the estimation of extreme value §index (EVI). We apply both the parametric approach §and the DOA approach to estimate EVI and the extreme §quantile. We conclude that the DOA approach is more §flexible than the parametric approach, whereas in §the DOA approach there is no single estimator §dominates all the other estimators.

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