Tail index and quantile estimation with very high frequency data
نویسندگان
چکیده
منابع مشابه
Semiparametric Tail Index Estimation: A Density Quantile Approach
Heavy tail probability distributions are important in many scientific disciplines, such as hydrology, geology, and physics among others. To this end many heavy tail distributions are commonly used in practice. In order to determine an appropriate family of distributions for a specified application it is useful to classify the probability law via its tail behavior. Through the use of Parzen’s de...
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Quantile regression offers a convenient tool to access the relationship between a response and covariates in a comprehensive way and it is appealing especially in applications where interests are on the tails of the response distribution. However, due to data sparsity, the finite sample estimation at tail quantiles often suffers from high variability. To improve the tail estimation efficiency, ...
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• The estimation of the extreme-value index γ based on a sample of independent and identically distributed random variables has received considerable attention in the extreme-value literature. However, the problem of combining data from several groups is hardly studied. In this paper we discuss the simultaneous estimation of tail indices when data on several independent data groups are availabl...
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Both parametric distribution functions appearing in extreme value theory the generalized extreme value distribution and the generalized Pareto distribution have log-concave densities if the extreme value index γ ∈ [−1, 0]. Replacing the order statistics in tail index estimators by their corresponding quantiles from the distribution function that is based on the estimated log-concave density f̂n ...
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This paper describes new extensions to the state-of-the-art regression random forests Quantile Regression Forests (QRF) for applications to high dimensional data with thousands of features. We propose a new subspace sampling method that randomly samples a subset of features from two separate feature sets, one containing important features and the other one containing less important features. Th...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 1997
ISSN: 0927-5398
DOI: 10.1016/s0927-5398(97)00008-x