Results 251 to 260 of about 5,003,510 (291)

Modeling Tail Index With Autoregressive Conditional Pareto Model

Journal of business & economic statistics, 2020
We propose an autoregressive conditional Pareto (AcP) model based on the dynamic peaks over threshold method to model a dynamic tail index in the financial markets.
Zhou Shen, Yu Chen, Ruxin Shi
semanticscholar   +1 more source

On the Estimation of a Changepoint in a Tail Index

Lithuanian Mathematical Journal, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gadeikis, K., Paulauskas, V.
openaire   +1 more source

A Class of Tests on the Tail Index

Extremes, 2001
For the i.i.d. sample with d.f. \(F(x)\) a nonparametric test is proposed for the null hypothesis \(H_m:\;x^m(1-F(x))\geq 1\quad\forall x>x_0\) for some \(x_0>0\) with a given \(m>0\), against the alternative \(K_m:\lim\sup_{x\to\infty} x^m(1-F(x))
Jurečková, Jana, Picek, Jan
openaire   +1 more source

The Tail in the Volatility Index

SSRN Electronic Journal, 2011
Both volatility and the tail of the stock return distribution are impacted by discontinuities (“large jumps”) in the stock price process. In this paper, we construct model-free volatility and tail indexes in a manner that clearly distinguishes one from the other.
Nikunj Kapadia, Jian Du
openaire   +1 more source

Dimension reduction for the estimation of the conditional tail index

Scandinavian Journal of Statistics
We are interested in the relationship between the large values of a real random variable and its associated multidimensional covariate, in the context where the conditional distribution is heavy‐tailed. Estimating the positive conditional tail index of a
L. Gardes, Alex Podgorny
semanticscholar   +1 more source

A class of bootstrap tests on the tail index

Communications in Statistics - Simulation and Computation, 2021
This work proposes powerful tests using bootstrap methods for the tail index in the family of distribution functions with nondegenerate right tail.
openaire   +1 more source

A New Estimator for a Tail Index

Acta Applicandae Mathematica, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A tail bootstrap procedure for estimating the tail Pareto-index

Journal of Statistical Planning and Inference, 1998
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bacro, J. N., Brito, M.
openaire   +1 more source

Bayesian Estimation of a Tail-Index with Marginalized Threshold

ICASSP 2021 - 2021 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2021
In this paper, we develop a new method for estimating the tail-index found in extreme value statistics. Using a fixed quantile, model-selection approach, we derive the posterior distribution of the tail-index marginalizing out the unknown threshold and nuisance parameters. Our marginalized threshold method relies on a spliced likelihood density for the
Douglas E. Johnston, Petar M. Djuric
openaire   +1 more source

Comparison of tail index estimators

Statistica Neerlandica, 1998
We compare various estimators for the index of distribution functions with regularly varying tails by calculating their asymptotic mean squared errors after choosing the optimal number of upper order statistics involved (which is different for different estimators).
de Haan, Laurens, Peng, L (Liang)
openaire   +3 more sources