Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data

DOI10.1007/S10614-011-9256-0zbMath1243.91107OpenAlexW2093146403MaRDI QIDQ431908

Jin-Guan Lin, Chao Huang, Yan-Yan Ren

Publication date: 3 July 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-011-9256-0

zbMATH Keywords

bootstrap methodthresholdgeneralized Pareto distributionvalue at riskdaily closing priceinterior penalty function algorithm

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Bootstrap, jackknife and other resampling methods (62F40) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Testing for the shape parameter of generalized extreme value distribution based on the \(L_q\)-likelihood ratio statistic ⋮ A new class of copulas involved geometric distribution: estimation and applications ⋮ Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis

Uses Software

• ismev
• QRM
• bootstrap
• plfit

Cites Work

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