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Kernel Methods and Estimation of Extreme Value Index

Name: Kernel Methods and Estimation of Extreme Value Index
Brand: VDM Verlag
SKU: 06819569
Price: 59.89 EUR
Availability: InStock
Author: Xiaodong Jin
ISBN: 9783639106060

Xiaodong Jin

Language

English

Book Paperback

Libristo code: 06819569

Publishers VDM Verlag, December 2008

This book is a blend of rigorous probability §theories and interesting statistical methodologies. §I... Full description

Libristo code: 06819569

147 b

59.89 € VAT included

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This book is a blend of rigorous probability §theories and interesting statistical methodologies. §It contains two parts. In Part I we propose two new §asymmetric kernels called Birnbaum-Saunders and §Lognormal kernels. These two kernels can be applied §to the estimation of the probability density §functions of ultra-high frequency financial data. In §Part II we study in detail the domain of attraction §(DOA) approach for the estimation of extreme value §index (EVI). We apply both the parametric approach §and the DOA approach to estimate EVI and the extreme §quantile. We conclude that the DOA approach is more §flexible than the parametric approach, whereas in §the DOA approach there is no single estimator §dominates all the other estimators.