Statistical Inference and Application of Asymmetrical Generalized Pareto Distribution Based on Peaks-Over-Threshold Model
文献类型：期刊论文
| 作者 | Chen, Wenru5; Zhao, Xu5; Zhou, Mi4; Chen, Haiqing3; Ji, Qingqing1,2; Cheng, Weihu5 |
| 刊名 | SYMMETRY-BASEL
 |
| 出版日期 | 2024-03-01 |
| 卷号 | 16期号:3页码:20 |
| 关键词 | generalized Pareto distribution parameter estimation extreme quantile estimation extreme value theory |
| DOI | 10.3390/sym16030365 |
| 英文摘要 | Generalized Pareto distribution (GPD), an asymmetrical distribution, primarily models exceedances over a high threshold in many applications. Within the peaks-over-threshold (POT) framework, we consider a new GPD parameter estimation method to estimate a common tail risk measure, the value at risk (VaR). The proposed method is more suitable for the POT framework and makes full use of data information. Specifically, our estimation method builds upon the generalized probability weighted moments method and integrates it with the nonlinear weighted least squares method. We use exceedances for the GPD, minimizing the sum of squared differences between the sample and population moments of a function of GPD random variables. At the same time, the proposed estimator uses three iterations and assigns weight to further improving the estimated performance. Under Monte Carlo simulations and with a real heavy-tailed dataset, the simulation results show the advantage of the newly proposed estimator, particularly when VaRs are at high confidence levels. In addition, by simulating other heavy-tailed distributions, our method still exhibits good performance in estimating misjudgment distributions. |
| 资助项目 | National Office for Philosophy and Social Sciences |
| WOS研究方向 | Science & Technology - Other Topics |
| 语种 | 英语 |
| WOS记录号 | WOS:001192996600001 |
| 出版者 | MDPI |
| 源URL | [http://119.78.100.204/handle/2XEOYT63/38736]  |
| 专题 | 中国科学院计算技术研究所期刊论文_英文 |
| 通讯作者 | Zhao, Xu; Zhou, Mi |
| 作者单位 | 1.Chinese Acad Sci, Inst Comp Technol, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Beijing 100049, Peoples R China 3.Nanjing Univ Finance & Econ, Sch Econ, Nanjing 210023, Peoples R China 4.China Natl Environm Monitoring Ctr, Beijing 100012, Peoples R China 5.Beijing Univ Technol, Sch Math Stat & Mech, Beijing 100124, Peoples R China |
| 推荐引用方式 GB/T 7714 | Chen, Wenru,Zhao, Xu,Zhou, Mi,et al. Statistical Inference and Application of Asymmetrical Generalized Pareto Distribution Based on Peaks-Over-Threshold Model[J]. SYMMETRY-BASEL,2024,16(3):20. |
| APA | Chen, Wenru,Zhao, Xu,Zhou, Mi,Chen, Haiqing,Ji, Qingqing,&Cheng, Weihu.(2024).Statistical Inference and Application of Asymmetrical Generalized Pareto Distribution Based on Peaks-Over-Threshold Model.SYMMETRY-BASEL,16(3),20. |
| MLA | Chen, Wenru,et al."Statistical Inference and Application of Asymmetrical Generalized Pareto Distribution Based on Peaks-Over-Threshold Model".SYMMETRY-BASEL 16.3(2024):20. |
入库方式： OAI收割
来源：计算技术研究所
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