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In certain cases the distribution of the normalized maximumof a sample can be better approximated by a sequence ofdifferent extreme value distributions than by the final one. Weshow that these cases are rather restricted and that the possibleimprovement is not spectacular.
Persistent link: https://www.econbiz.de/10011283467
Internet auctions attract numerous agents, but only a few become active bidders. A major difficulty in the structural analysis of internet auctions is that the number of potential bidders is unknown. Under the independent private value paradigm (IPVP)the valuations of the active bidders form a...
Persistent link: https://www.econbiz.de/10005136995
Internet auctions attract numerous agents, but only a few become active bidders. A major difficulty in the structural analysis of internet auctions is that the number of potential bidders is unknown. Under the independent private value paradigm (IPVP)the valuations of the active bidders form a...
Persistent link: https://www.econbiz.de/10011256361
Persistent link: https://www.econbiz.de/10001722196
Denote the loss return on the equity of a financial institution as X and that of the entire market as Y . For a given very small value of p 0, the marginal expected shortfall (MES) is defined as E(X | Y QY (1−p)), where QY (1−p) is the (1−p)-th quantile of the distribution of Y . The MES...
Persistent link: https://www.econbiz.de/10013100211
We extend classical extreme value theory to non-identically distributed observations. When the distribution tails are proportional much of extreme value statistics remains valid. The proportionality function for the tails can be estimated nonparametrically along with the (common) extreme value...
Persistent link: https://www.econbiz.de/10013058580
When simultaneously monitoring two possibly dependent, positive risks one is often interested in quantile regions with very small probability p. These extreme quantile regions contain hardly or no data and therefore statistical inference is difficult. In particular when we want to protect...
Persistent link: https://www.econbiz.de/10013159858
We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the samplefraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methodsour procedure is fully self contained. In particular, the...
Persistent link: https://www.econbiz.de/10010232860
Persistent link: https://www.econbiz.de/10010395089
In certain cases partial sums of i.i.d. random variables with finite variance are better approximated by asequence of stable distributions with indices alpha n - 2 than by a normal distribution. We discusswhen this happens and how much the convergence rate can be improved by using penultimate...
Persistent link: https://www.econbiz.de/10010342309