Optimally robust estimators in generalized Pareto models
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Publication:2863069
DOI10.1080/02331888.2011.628022zbMATH Open1440.62100OpenAlexW3098475594MaRDI QIDQ2863069FDOQ2863069
Abstract: This paper deals with optimally-robust parameter estimation in generalized Pareto distributions (GPDs). These arise naturally in many situations where one is interested in the behavior of extreme events as motivated by the Pickands-Balkema-de Haan extreme value theorem (PBHT). The application we have in mind is calculation of the regulatory capital required by Basel II for a bank to cover operational risk. In this context the tail behavior of the underlying distribution is crucial. This is where extreme value theory enters, suggesting to estimate these high quantiles parameterically using, e.g. GPDs. Robust statistics in this context offers procedures bounding the influence of single observations, so provides reliable inference in the presence of moderate deviations from the distributional model assumptions, respectively from the mechanisms underlying the PBHT.
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Cited In (7)
- Risk measure estimation under two component mixture models with trimmed data
- Robust estimation of tail parameters for two-parameter Pareto and exponential models via generalized quantile statistics
- Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
- Robust and efficient estimation for the generalized Pareto distribution
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- Robust estimation of the generalized Pareto distribution
- Yet another breakdown point notion: EFSBP. Illustrated at scale-shape models
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