The applications of the kernel densities to modeling the generalized pareto distributions

• Authors: Łukasz Kuźmiński
• Languages of publication: EN

Abstracts

EN

In this paper we present the tools used in the modeling of distributions with fat tails in the theory of extreme values. We present three tools: the sample distribution function, the histograms for grouped data and the kernel densities. The latter is described in detail. The presented examples show the application of the kernel densities to modeling the generalized Pareto distributions.

Keywords

EN

Kernel densities; extreme values; generalized Pareto distributions

• Publisher: Uniwersytet Ekonomiczny we Wrocławiu. Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2013
• Issue: 3(41)
• Pages: 55-64

Contributors

author

Łukasz Kuźmiński

• Wroclaw University of Economics

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