| 广义Pareto模型统计推断及其应用 |
| |
| 引用本文： | 张香云,赵旭.广义Pareto模型统计推断及其应用[J].数理统计与管理,2011,30(6):989-995. |
| |
| 作者姓名： | 张香云 赵旭 |
| |
| 作者单位： | 1. 浙江农林大学天目学院,浙江临安,311300；／北京工业大学应用数理学院,北京,100124
2. 北京工业大学应用数理学院,北京,100124 |
| |
| 基金项目： | 北京工业大学人才强教深化计划-211工程-服务北京优秀团队(00600054R0001) |
| |
| 摘 要： | 广义Pareto分布能很好地拟合数据分布的尾部,广泛地应用于金融市场的风险管理、风险经营问题的研究。利用概率加权矩法得到了三参数广义Pareto模型的参数估计式,给出了阈值的选取方法和风险值的计算公式;利用计算机模拟,计算得出了KS检验统计量的临界值。
|
| 关 键 词： | 广义Pareto分布 阈值 概率加权矩估计 次序统计量 随机模拟 |
Statistical Inference for the Generalized Pareto Distribution Model and its Application |
| |
| ZHANG Xiang-yun ZHAO Xu.Statistical Inference for the Generalized Pareto Distribution Model and its Application[J].Application of Statistics and Management,2011,30(6):989-995. |
| |
| Authors: | ZHANG Xiang-yun ZHAO Xu |
| |
| Institution: | ZHANG Xiang-yun~(1,2) ZHAO Xu~2 (1.Tianmu College of Zhejiang A&F University,Lin'an,Zhejiang 311300,China,2.College of Applied Sciences,Beijing University of Technology,Beijing 100124,China) |
| |
| Abstract: | Generalized Pareto distribution(GPD) can be well fited the tail of data distribution.It is applying in risk management of fiance market,and risk management issues.We got the estimations for three-paramater generalized Pareto model,by use of probability weighted moments.The selection method of threshold u and the calculation formula of risk value are given.And then,simulation calculated the cirtical value of Kolmogorov-Smirnov test statistic. |
| |
| Keywords: | generalized Pareto distribution threshold probability weighted moment(PWM ) order statistics random simulation |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
