搜索结果: 1-15 共查到“理论统计学 Value”相关记录17条 . 查询时间(0.198 秒)
Bounds for the Sum of Dependent Risks and Worst Value-at-Risk with Monotone Marginal Densities
Complete mixability Monotone density Sum of dependent risks Value-at- Risk
2016/1/25
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
Weighted estimation of the dependence function for an extreme-value distribution
bivariate extreme dependence function jackknife empirical likelihood method
2013/4/28
Bivariate extreme-value distributions have been used in modeling extremes in environmental sciences and risk management. An important issue is estimating the dependence function, such as the Pickands ...
Nonparametric estimation of multivariate extreme-value copulas
empirical copula extreme-value copula Pickands dependence function
2011/7/19
Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence function, which is a funct...
Threshold estimation based on a p-value framework in dose-response and regression settings
estimation based p-value framework dose-response regression settings
2011/7/5
We use p-values to identify the threshold level at which a regression function takes off from its baseline value, a problem motivated by applications in toxicological and pharmacological dose-response...
Large-sample tests of extreme-value dependence for multivariate copulas
max-stability multiplier central limit theorem pseudo-observations ranks
2011/6/17
Starting from the characterization of extreme-value copulas based on maxstability,
large-sample tests of extreme-value dependence for multivariate copulas
are studied. The two key ingredients of the...
New estimators of the Pickands dependence function and a test for extreme-value dependence
Pickands dependence function a test for extreme-value dependence
2011/3/18
We propose a new class of estimators for Pickands dependence function which is based on the concept of minimum distance estimation. An explicit integral representation of the function A^*(t), which mi...
A General Family of Estimators for Estimating Population Mean Using Known Value of Some Population Parameter(s)
Auxiliary information general family of estimators bias mean-squared error population parameter(s)
2010/4/26
A general family of estimators for estimating the population mean of the variable
under study, which make use of known value of certain population parameter(s), is proposed.
Under Simple Random Samp...
Extending The Range of Application of Permutation Tests：the Expected Permutation p-value Approach
Range Application Permutation Tests Expected Permutation p-value Approach
2010/3/11
The limitation of permutation tests is that they assume exchangeability.
It is shown that in generalized linear models one can construct permutation
tests from score statistics in particular cases. ...
Extreme value theory for asymptotic stationary sequences
Extreme value theory asymptotic stationary sequences
2009/9/23
Extreme value theory for asymptotic stationary sequences。
COMPUTING THE PORTFOLLO CONDITIONAL VALUE-AT-RISK IN THE a-STABLE CASE
Stable distributions heavy tails coherent risk measures conditional value-at-risk
2009/9/18
The class of a-stable distributions is an attractive
probabilistic model of asset returns distribution in the field of finance.
When dealing with real issues, such ar optimal portfolio selection, it...
Rank-based inference for bivariate extreme-value copulas
Asymptotic theory copula extreme-value distribution non-parametric estimation Pickands dependence function rank-based inference
2010/4/30
Consider a continuous random pair (X,Y ) whose dependence is
characterized by an extreme-value copula with Pickands dependence
function A. When the marginal distributions of X and Y are known,
seve...
A Limit Law for the Root Value of Minimax Trees
Minimax Tree Limit Law Weak Convergence Analysis of Algorithms Gametree
2009/4/27
We consider minimax trees with independent, identically distributed leaf values that have a continuous distribution function FV being strictly increasing on the range where 0< FV <1. It was shown by P...
An Extreme-Value Analysis of the LIL for Brownian Motion
The law of the iterated logarithm Brownian motion extreme values
2009/4/27
We use excursion theory and the ergodic theorem to present an extreme-value analysis of the classical law of the iterated logarithm (LIL) for Brownian motion. A simplified version of our method also p...
Detecting a conditional extrme value model
Regular variation domain of attraction heavy tails asymptotic independence conditional extremevalue model
2010/3/18
In classical extreme value theory probabilities of extreme events are estimated assuming all
the components of a random vector to be in a domain of attraction of an extreme value distribution. In con...
Fixed Point Iteration for Estimating The Parameters of Extreme Value Distributions
Fixed Point Iteration Parameters Extreme Value Distributions
2010/3/18
Maximum likelihood estimations for the parameters of extreme value distributions
are discussed in this paper using fixed point iteration. The commonly used
numerical approach for adressing this prob...