A Quantile Alternative for Kurtosis
نویسندگان
چکیده
منابع مشابه
Assessment of an L - Kurtosis - Based Criterion for Quantile Estimation
The estimation of extreme quantiles corresponding to small probabilities of exceedance is commonly required in the risk analysis of flood protection structures. The usefulness of L-moments has been well recognized in the statistical analysis of data, because they can be estimated with less uncertainty than that associated with traditional moment estimates. The objective of the paper is to asses...
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Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to permit joint modeling of multiple quantiles, Multi-Quantile (MQ) CAViaR. We apply our new methods to estim...
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P. López López, J. S. Verkade, A. H. Weerts, and D. P. Solomatine UNESCO – IHE Institute for Water Education, Delft, the Netherlands Deltares, Delft, the Netherlands Delft University of Technology, Delft, the Netherlands Ministry of Infrastructure and the Environment, Water Management Centre of the Netherlands, River Forecasting Service, Lelystad, the Netherlands Wageningen University and Resea...
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A very simple and practical resampling test is offered as an alternative to inference based on Kmaladzation, as developed in in Koenker and Xiao (2002a). This alternative has competitive or better power, accurate size, and does not require estimation of non-parametric sparsity and score functions. It applies not only to iid but also time series data. Computational experiments and an empirical e...
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Pattern matching has been used extensively for many machine vision applications such as optical character recognition, face detection, object detection, and defect detection. The normalized cross correlation (NCC) is the most commonly used technique in pattern matching. However, it is computationally intensive, sensitive to environmental changes such as lighting and shifting, and suffers from f...
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ژورنال
عنوان ژورنال: The Statistician
سال: 1988
ISSN: 0039-0526
DOI: 10.2307/2348376