Extreme Quantile Estimation for Heavy-Tailed Distr

整理文档很辛苦,赏杯茶钱您下走!

免费阅读已结束,点击下载阅读编辑剩下 ...

阅读已结束,您可以下载文档离线阅读编辑

资源描述

([WUHPH4XDQWLOH(VWLPDWLRQIRU+HDY\7DLOHG'LVWULEXWLRQV*0DWWK\V-%HLUODQW$XJXVW$EVWUDFW6RPHLPSRUWDQWDSSOLFDWLRQVLQHJLQVXUDQFHpQDQFHFRPSXWHUVFLHQFHDQGHQYLURQPHWULFVUHTXLUHWKHHVWLPDWLRQRIKLJKTXDQWLOHVLHOHYHOVWKDWZLOOEHH[FHHGHGE\VRPHSKHQRPHQRQZLWKRQO\DVPDOOSUREDELOLW\1RUPDODSSUR[LPDWLRQVZKLFKDUHRIWHQXVHGWRPRGHOWKHGLVWULEXWLRQRIGDWDDURXQGWKHPHDQYDOXHPRVWO\GRQRWpWZHOOLQWKHWDLOV/LPLWWKHRU\IRUVDPSOHPD[LPDDQGIRUH[FHHGDQFHVDERYHDKLJKWKUHVKROGKRZHYHUGRHVSURYLGHDQXPEHURIVWDWLVWLFDOPRGHOVIRUH[WUHPHYDOXHV,QWKLVSDSHUZHIRFXVRQKHDY\WDLOHGGLVWULEXWLRQVDQGJLYHDEULHIRYHUYLHZRIVRPHFODVVLFDOTXDQWLOHHVWLPDWRUVIRUWKLVFODVV2QWKHEDVLVRIDQH[SRQHQWLDOUHJUHVVLRQPRGHOIRUORJVSDFLQJVZHSURSRVHDQHZHVWLPDWRUZKLFKUHGXFHVWKHELDVRI:HLVVPDQVHVWLPDWRU  WRDODUJHH[WHQWDQGZKLFK\LHOGVVLPSOHFRQpGHQFHLQWHUYDOFDOFXODWLRQV$VDFRPSOHPHQWDU\WRROZHDOVRGHULYHDQDGDSWLYHSURFHGXUHWRVHOHFWWKHRSWLPDOWKUHVKROGIRU:HLVVPDQVHVWLPDWRU,QDV\VWHPDWLFVLPXODWLRQVWXG\WKHVPDOOVDPSOHSURSHUWLHVRIWKHGLoHUHQWHVWLPDWRUVDUHLOOXVWUDWHGDQGFRPSDUHG$VDQHPSLULFDOH[DPSOHZHFRQVLGHUDVLPSOHYDOXHDWULVNFDOFXODWLRQIRUWKH6 3VWRFNLQGH[5HVHDUFK$VVLVWDQW)XQGIRU6FLHQWLp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wHFKHWGLVWULEXWLRQV7KH\DUHXVHGLQDZLGHYDULHW\RIpHOGVWRPRGHOSKHQRPHQDDQGGDWDLQUHDOOLIH,QLQVXUDQFHIRULQVWDQFHWKH\SURYLGHPRGHOVIRUFODLPVL]HVDQGORVVHVDQGLQpQDQFHWKH\FDSWXUHWKHKHDY\WDLOVRITXDQWLWLHVVXFKDVH[FKDQJHUDWHVRUORJUHWXUQVRQVWRFNV1HWZRUNWUDrFDQGEXoHUORDGVLQFRPSXWLQJDUHPRVWO\KHDY\WDLOHGDQGLQHDUWKVFLHQFHVWKHDSSOLFDWLRQVUDQJHIURPK\GURORJ\ WKHPRGHOOLQJRIqRRGV RYHUFOLPDWRORJ\ ZLQGVSHHGV WRJHRORJ\ PLQHUDOGHSRVLWV ,QDOOWKHVHH[DPSOHVRQHLVRIWHQLQWHUHVWHGLQDFHUWDLQKLJKOHYHOZKLFKZLOOEHH[FHHGHGZLWKRQO\D YHU\ VPDOOSUREDELOLW\SLHDQH[WUHPHTXDQWLOH[RIWKHXQGHUO\LQJGLVWULEXWLRQ:HFDOODGLVWULEXWLRQ)KHDY\WDLOHGLILWVWDLOIXQFWLRQz)b)ZKLFKJLYHVWKHH[FHHGDQFHSUREDELOLWLHVGHFD\VHVVHQWLDOO\DVDSRZHUIXQFWLRQz) [ [C [   ZKHUHoLVFDOOHGWKHWDLOLQGH[DQGCLVDVORZO\YDU\LQJIXQFWLRQLHOLPORJC y[ C [ IRUDOOy!  (TXLYDOHQWO\WKHTXDQWLOHIXQFWLRQ4 U LQII[) [ yUJ WKHJHQHUDOLVHGLQYHUVHRI) PXVWVDWLVI\4 bS SC S   ZLWKCVORZO\YDU\LQJ)RUHDVHRIQRWDWLRQZHZLOORIWHQZULWH[IRUWKHTXDQWLOH4 bS ZLWK XVXDOO\VPDOO WDLOSUREDELOLW\SVXFKWKDWz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pQDQFH,Q6HFWLRQWKHVPDOOVDPSOHSURSHUWLHVRIWKHHVWLPDWRUVDUHFRPSDUHGLQDVLPXODWLRQVWXG\DQGVRPHHPSLULFDOFRQFOXVLRQVDUHGUDZQ(VWLPDWLRQPHWKRGV*HQHUDOO\RQHGLVWLQJXLVKHVWKUHHNLQGVRIPHWKRGVWRHVWLPDWHH[WUHPHTXDQWLOHVIURPKHDY\WDLOHGGDWDWKHPHWKRGRIEORFNPD[LPDWKHSHDNVRYHUWKUHVKROGVPHWKRGTXDQWLOHEDVHGPHWKRGV,QWKLVVHFWLRQZHEULHq\UHYLHZWKHVHGLoHUHQWPHWKRGVDQGLOOXVWUDWHWKHPZLWKDQH[DPSOHIURPpQDQFHWKDWKDVSUHYLRXVO\EHHQGLVFXVVHGLQDSDSHUE\$0F1HLO D 2Q2FWREHU_WKHODVWWUDGLQJGD\EHIRUHWKHFUDVKRI%ODFN0RQGD\2FWREHU_DULVNPDQDJHULQDQLQYHVWPHQWEDQNZDQWVWRDVVHVVWKHULVNVKLVpUPLVH[SRVHGWRGXHWRDGYHUVHPDUNHWPRYHPHQWV)RUWKLVSXUSRVHKHH[DPLQHVWKHEHKDYLRXURIWKH6WDQGDUG 3RRUVLQGH[ 6 3 +HKDVDWKLVGLVSRVDOWKHGDLO\UHWXUQVRIWKH6 3IURP-DQXDU\XSWR2FWREHUZKLFKDUHVKRZQLQ)LJXUHTime%Return-6-4-202405.01.6005.01.6505.01.7005.01.7505.01.8005.01.85)LJXUH'DLO\UHWXUQVRIWKH6 3VWRFNLQGH[7KHPD[LPDOGDLO\ORVVLQHDFKFDOHQGDU\HDULVPDUNHGZLWKDFLUFOH0LG2FWREHUWKHPDUNHWLVLQDGRZQZDUGWUHQGDQGWKHULVNPDQDJHULQYHVWLJDWHVKRZWKHYDOXHRIKLVpUPVSRUWIROLRZRXOGFKDQJHXQGHUVRPHCZRUVWFDVHVFHQDULRVLHZKHQWKHPDUNHWIDOOVH[WUDRUGLQDULO\GHHS,QRUGHUWRIRUPXODWHWKHVHVFHQDULRVZLWKDFHUWDLQSUREDELOLW\RIRFFXUUHQFHKHPXVWEHDEOHWRDQVZHUTXHVWLRQVDV:KDWLVDVDIHOLPLWWRWKHSRVVLEOHGDLO\ORVVRIWKH6 3WKDWLVH[SHFWHGO\H[FHHGHGLQRQO\\HDURXWRIVD\)RUPDOO\GHQRWLQJWKHGDLO\IDOOV WKHUHWXUQVZLWKRSSRVLWHVLJQ RIWKH6 3ZLWK;;;DQGWKHPD[LPDOGDLO\IDOORYHUDSHULRGRIQGD\VZLWK0PD[ ;; WKHOHYHOGHVFULEHGDERYHLVWKHTXDQWLOH[RIWKHGLVWULEXWLRQRIWKHDQQXDOPD[LPDOIDOO0WKDWVDWLVpHV3 0![ 5HPDUNWKDWZH

1 / 30
下载文档,编辑使用

©2015-2020 m.777doc.com 三七文档.

备案号:鲁ICP备2024069028号-1 客服联系 QQ:2149211541

×
保存成功