Kernel Methods and Estimation of Extreme Value Index - Jin Xiaodong
Kernel Methods and Estimation of Extreme Value Index - Jin Xiaodong
AutorzyJin Xiaodong
EAN: 9783639106060
Symbol
009GJE03527KS
Rok wydania
2008
Elementy
204
Oprawa
Miekka
Format
15.2x22.9cm
Język
angielski

Bez ryzyka
14 dni na łatwy zwrot

Szeroki asortyment
ponad milion pozycji

Niskie ceny i rabaty
nawet do 50% każdego dnia
Niepotwierdzona zakupem
Ocena: /5
Symbol
009GJE03527KS
Kod producenta
9783639106060
Rok wydania
2008
Elementy
204
Oprawa
Miekka
Format
15.2x22.9cm
Język
angielski
Autorzy
Jin Xiaodong

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.
EAN: 9783639106060
EAN: 9783639106060
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Ocena: /5
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