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Více informací o knize Kernel Methods and Estimation of Extreme Value Index

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• Anotace
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Anotace knihy

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.

Parametry knihy

• Plný název: Kernel Methods and Estimation of Extreme Value Index
• Autor: Xiaodong Jin
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 204
• EAN: 9783639106060
• ISBN: 3639106067
• ID: 06819569
• Nakladatelství: VDM Verlag
• Hmotnost: 281 g
• Rozměry: 229 × 152 × 11 mm
• Datum vydání: 01. December 2008

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