On bootstrap sample size in extreme value theory
نویسندگان
چکیده
منابع مشابه
high volatility, thick tails and extreme value theory in value at risk estimation: the case of liability insurance in iran insurance company
در این بررسی ابتدا به بررسی ماهیت توزیع خسارات پرداخته میشود و از روش نظریه مقادیر نهایی برای بدست آوردن برآورد ارزش در معرض خطر برای خسارات روزانه بیمه مسئولیت شرکت بیمه ایران استفاده میشود. سپس کارایی نظریه مقدار نهایی در برآورد ارزش در معرض خطر با کارایی سایر روشهای واریانس ، کواریانس و روش شبیه سازی تاریخی مورد مقایسه قرار میگیرد. نتایج این بررسی نشان میدهند که توزیع ،garch شناخته شده مدل...
15 صفحه اولBootstrap Sample Size in Nonregular Cases
We study the bootstrap estimator of the sampling distribution of a given statistic in some nonregular cases where the given statistic is nonsmooth or not-so-smooth. It is found that the ordinary bootstrap, based on a bootstrap sample of the same size as the original data set, produces an inconsistent bootstrap estimator. On the other hand, when we draw a bootstrap sample of a smaller size with ...
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ژورنال
عنوان ژورنال: Publications de l'Institut Mathematique
سال: 2002
ISSN: 0350-1302
DOI: 10.2298/pim0271021g