英文标题
Statistical Inference for the Generalized Pareto Distribution Model and its Application
英文摘要
Generalized Pareto distribution（GPD） can be well fited the tail of data distribution,It is applying in risk management of fiance market, and risk management issues. We got the estimations for three-paramater generalized Pareto model, by use of probability weighted moments. The selection method of threshold u and the calculation formula of risk value are given. And then, simulation calculated the cirtical value of Kolmogorov-Smirnov test statistic.
翻译关键词
generalized Pareto distribution
threshold
random simulation
probability weighted moment（PWM ）
orderstatistics
获取号
WF:perioarticalsltjygl201106005
