| 两极端值模型的比较和应用 |
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| 引用本文： | 桂文林,徐芳燕.两极端值模型的比较和应用[J].数学的实践与认识,2008,38(24). |
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| 作者姓名： | 桂文林 徐芳燕 |
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| 作者单位： | 1. 暨南大学统计系,广东,广州,510632;惠州学院数学系,广东,惠州,516007
2. 广东外语外贸大学统计系,广东,广州,510006 |
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| 基金项目： | 惠州学院科研基金
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| 摘 要： | 极端值模型主要有分块样本极大值模型和阈顶点模型.从两模型极值分布的内在关系、尾部特征的角度作比较分析和证明.结果表明,它们的内在关系一致;随着形状参数的变化尾部各有不同特征,阈顶点模型更为具体和多样,更适合金融风险度量的应用.
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| 关 键 词： | 广义帕累托分布 广义极值分布 形状参数 |
Comparison and Application of Two Extreme Value Models |
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| GUI Wen-lin,XU Fang-yan.Comparison and Application of Two Extreme Value Models[J].Mathematics in Practice and Theory,2008,38(24). |
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| Authors: | GUI Wen-lin XU Fang-yan |
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| Institution: | 1.Statistical Dept;Jinan University;Guangzhou 510632;China;2.Math Dept;Huizhou University;Huizhou 516007;China;3.Statistical Dept;Guangdong University of Foreign Studies;Guangzhou 510006;China |
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| Abstract: | Extreme value model is composed of the BMM and POT mainly.This paper carries on the comparative analysis in the intrinsic relations,tail characteristics points of view of the two extreme value distributions.The results showed that they are consistent with the inherent relationship;with the changes in the shape parameter they have different characteristics,POT model is more specific and diverse,and fit for calculating financial risk. |
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| Keywords: | general pareto distribution general extreme distribution shape parameters Value-at-Risk |
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