Results found: 2

Search results

Search:
in the keywords: extreme index

Sort By:

Limit search:

Graniczne dystrybuanty wartości ekstremalnych dla zależnych ciągów zmiennych losowych

100%

Kuźmiński Ł.

Econometrics. Ekonometria. Advances in Applied Data Analytics

2013

issue 2(40)

115-125

In the article the outline of asymptotic theory of extreme values has been intro-duced for the application to finance, hydrology and insurance. The study includes the theo-rems and the definitions which give the possibility to appoint the limiting distribution func-tion for the distributions of maximum in three cases. The first case concerns the sequence independent random variables. The second case concerns the stationary processes of random variables for which the conditions D(un) and D’(un) are satisfied (i.e. “the extinguishing de-pendence”). The last case concerns the stationary processes for which the conditions D(un) and D’(un) are not satisfied.

PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX

88%

Pekasiewicz D.

Acta Universitatis Lodziensis. Folia Oeconomica

2014

vol. 3

issue 302

The paper presents two tests verifying the hypothesis about the shape parameter of the generalized distribution of maximum statistic. It is called the extreme value index. The inverse of the positive index is called the tail index and determines the degree of fatness of the tail. The asymptotic properties of the Pickands and the Hill estimator of the shape parameter are used to construct the test statistics. Simulation studies of the properties of these significance tests allow us to formulate some conclusions regarding their applications.

Refine search results

1 Acta Universitatis Lodziensis. Folia Oeconomica

1 Econometrics. Ekonometria. Advances in Applied Data Analytics

1 2014

1 2013

1 Kuźmiński Ł.

1 Pekasiewicz D.

Search results

Graniczne dystrybuanty wartości ekstremalnych dla zależnych ciągów zmiennych losowych

PROPERTIES OF SELECTED SIGNIFICANCE TESTS FOR EXTREME VALUE INDEX