Книга Kernel Methods and Estimation of Extreme Value Index Xiaodong Jin

Kernel Methods and Estimation of Extreme Value Index

Автор: Xiaodong Jin
Език: Английски език
Корици: С меки корици
Издател: VDM Verlag
Наличност: Външен склад
Изпращаме след 14-21 дни
68.57 134.11 лв
This book is a blend of rigorous probability §theories and interesting statistical methodologies. §I...

Информация за книгата

Автор
Език
Английски език
Корици
Книга - С меки корици
Издадена
2008
страници
204
EAN
9783639106060
ISBN
3639106067
Enbook ID
06819569
Издател
Теглоt
281
Размери
152 x 229 x 11

Пълно описание

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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