Results 1 to 10 of about 181 (54)

ROC AND THE BOUNDS ON TAIL PROBABILITIES VIA THEOREMS OF DUBINS AND F. RIESZ. [PDF]

Ann Appl Probab, 2009
For independent $X$ and $Y$ in the inequality $P(X\leq Y+\mu)$, we give sharp lower bounds for unimodal distributions having finite variance, and sharp upper bounds assuming symmetric densities bounded by a finite constant.
Clarkson E, Denny JL, Shepp L.
europepmc   +2 more sources

Stochastic orders of log-epsilon-skew-normal distributions

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2022
The log-epsilon-skew-normal distributions family is generalized class of log-normal distribution. Is widely used to model non-negative data in many areas of applied research.
Catana Luigi-Ionut
doaj   +1 more source

Stochastic orders for a multivariate Pareto distribution

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2021
In this article we give some theoretical results for equivalence between different stochastic orders of some kind multivariate Pareto distribution family.
Catana Luigi-Ionut
doaj   +1 more source

Asymptotically distribution-free goodness-of-fit testing for tail copulas [PDF]

, 2014
Let $(X_1,Y_1),\ldots,(X_n,Y_n)$ be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution.
Can, Sami Umut, Einmahl, John H. J., Khmaladze, Estate V., Laeven, Roger J. A.   +3 more
core   +7 more sources

On maximum likelihood estimation of the extreme value index [PDF]

, 2004
We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value ...
de Haan, Laurens, Drees, Holger, Ferreira, Ana   +2 more
core   +3 more sources

Why scoring functions cannot assess tail properties [PDF]

, 2019
Motivated by the growing interest in sound forecast evaluation techniques with an emphasis on distribution tails rather than average behaviour, we investigate a fundamental question arising in this context: Can statistical features of distribution tails ...
Brehmer, Jonas, Strokorb, Kirstin
core   +3 more sources

Spatial aggregation of local likelihood estimates with applications to classification [PDF]

, 2006
This paper presents a new method for spatially adaptive local (constant) likelihood estimation which applies to a broad class of nonparametric models, including the Gaussian, Poisson and binary response models.
Belomestny, Denis, Spokoiny, Vladimir
core   +5 more sources

Smooth tail index estimation [PDF]

, 2007
Both parametric distribution functions appearing in extreme value theory - the generalized extreme value distribution and the generalized Pareto distribution - have log-concave densities if the extreme value index gamma is in [-1,0].
Balabdaoui F., Csörgő S., Dacorogna M. M., Dümbgen L., Kaspar Rufibach, Li D., Rufibach K., Rufibach K., Rufibach K., Samuel Müller, Smith R. L.   +10 more
core   +3 more sources

Confidence regions for high quantiles of a heavy tailed distribution

, 2006
Estimating high quantiles plays an important role in the context of risk management. This involves extrapolation of an unknown distribution function. In this paper we propose three methods, namely, the normal approximation method, the likelihood ratio ...
Peng, Liang, Qi, Yongcheng
core   +1 more source

Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data [PDF]

, 2003
We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric ...
Hsing, T., Klüppelberg, Claudia, Kuhn, Gabriel   +2 more
core   +2 more sources