Estimating generalized state density of near-extreme events and its applications in analyzing stock data

DOI10.1016/J.INSMATHECO.2010.03.004MaRDI QIDQ661204zbMATH OpenOpenAlexFDO

Authors Jinguan Lin, Chao Huang, Qing-Yun Zhuang, Li-Ping Zhu

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.03.004

zbMATH Keywords

density of statesdomains of attractionextreme value statisticsgeneralized density of near-extreme eventskernel density estimate

Mathematics Subject Classification ID

Reliability and life testing (62N05)

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Cites work

• A note on the number of records near the maximum
• An introduction to statistical modeling of extreme values
• Asymptotic Statistics
• Extreme value theory. An introduction.
• Generalized extreme value statistics and sum of correlated variables
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• scientific article; zbMATH DE number 3483405 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1040106 (Why is no real title available?)
• scientific article; zbMATH DE number 3025386 (Why is no real title available?)
• On the number of maxima in a discrete sample
• ON THE NUMBER OF RECORDS NEAR THE MAXIMUM
• Statistical inference using extreme order statistics
• The Relationship between Variable Selection and Data Agumentation and a Method for Prediction

Cited in

(2)

• Testing for the shape parameter of generalized extreme value distribution based on the \(L_q\)-likelihood ratio statistic
• Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis

Describes a project that uses

Uses Software

• ismev
• bootstrap

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