Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
DOI10.1007/S10614-011-9256-0zbMATH Open1243.91107OpenAlexW2093146403MaRDI QIDQ431908FDOQ431908
Jinguan Lin, Chao Huang, Yan-Yan Ren
Publication date: 3 July 2012
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-011-9256-0
thresholdgeneralized Pareto distributionvalue at riskbootstrap methoddaily closing priceinterior penalty function algorithm
Bootstrap, jackknife and other resampling methods (62F40) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)
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Cited In (3)
- Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis
- Testing for the shape parameter of generalized extreme value distribution based on the \(L_q\)-likelihood ratio statistic
- A new class of copulas involved geometric distribution: estimation and applications
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