Kernel Methods and Estimation of Extreme Value Index

Name: Kernel Methods and Estimation of Extreme Value Index
Brand: VDM Verlag
SKU: 9783639106060
Price: 376.41 RON
Availability: InStock

Autor: Xiaodong Jin

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Legare: Carte broșată

Editura: VDM Verlag

Disponibilitate: În depozitul extern

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376.41 lei

This book is a blend of rigorous probability §theories and interesting statistical methodologies. §I...

Informații despre carte

Autor

Xiaodong Jin

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2008

Pagini

204

EAN

9783639106060

ISBN

3639106067

Enbook ID

06819569

Editura

VDM Verlag

Greutate

281

Dimensiuni

152 x 229 x 11

Descriere completă

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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