Keywords: برآورد هیل; primary; 60G70; secondary; 62G32; Generalized Pareto distribution; Peaks over threshold; Maximum likelihood estimator; Nonlinear least squares; Hill estimator;
مقالات ISI برآورد هیل (ترجمه نشده)
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Keywords: برآورد هیل; Extremes; EVT; Hill estimator; GPD; Ozone; Air pollution;
Keywords: برآورد هیل; C13; C60; F31; Hill estimator; Tail index; Extreme value theory; Generalized Pareto distribution; Scaled Log phase-type distribution;
Keywords: برآورد هیل; Proportional hazard premium; Reinsurance treaty; Bias reduction; Kernel estimator; Hill estimator; Extreme quantile; Heavy tails;
Keywords: برآورد هیل; Risk measure; CTE; Heavy tails; Kernel; Hill estimator; Extreme quantile; Reduced bias;
Keywords: برآورد هیل; Extreme value theory; High conditional quantiles; Hill estimator; Pickands estimator; Quantile regression; Tail index
A high quantile estimator based on the log-generalized Weibull tail limit
Keywords: برآورد هیل; High quantile; Hill estimator; Log-generalized Weibull tail limit; Log-GW tail index; 60G70; 62G32; 62G20;
Diagnosing the distribution of GARCH innovations
Keywords: برآورد هیل; GARCH(1,1); Extreme value theory; Hill estimator; Dynamic risk management; C12; C58;
A bias-reduced estimator for the mean of a heavy-tailed distribution with an infinite second moment
Keywords: برآورد هیل; Bias reduction; Extreme values; Heavy-tailed distributions; Hill estimator; t-Hill estimator; Mean; Peng estimator; Regular variation; Tail index
On robust tail index estimation
Keywords: برآورد هیل; Tail index estimation; Robust estimation; Huberization; Hill estimator; Influence functional; Small sample
Extremal memory of stochastic volatility with an application to tail shape inference
Keywords: برآورد هیل; Stochastic volatility; Tail dependence; Convolution tail; Hill estimator;
The tail empirical process for long memory stochastic volatility sequences
Keywords: برآورد هیل; Long memory; Tail empirical process; Hill estimator; Tail empirical distribution function; Stochastic volatility
Monte Carlo-based tail exponent estimator
Keywords: برآورد هیل; Hill estimator; αα-stable distributions; Tail exponent estimation
Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions
Keywords: برآورد هیل; C1; C15; C22; G0; E0α-Stable distribution; Hill estimator; Monte Carlo test; Hodges–Lehmann estimator; Exact confidence interval; Finite sample
Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk
Keywords: برآورد هیل; C14; C15; G15; Extreme value theory; MENA stock markets; Hill estimator; VaR;
Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
Keywords: برآورد هیل; 62G32; 62G10; Extreme values; Heavy tails; Hill estimator; L-statistics; Risk premium;
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
Keywords: برآورد هیل; Bias reduction; Hill estimator; Extended Pareto distribution; Extreme value index; Heavy tails; Regular variation; Tail empirical process; Tail probability; Weissman probability estimator
On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
Keywords: برآورد هیل; primary, 60F17Functional central limit theorem; Tail arrays; Tail empirical process; Extremal near epoch dependence; Hill estimator; Tail quantile process; Tail dependence
Weighted least squares estimation of the extreme value index
Keywords: برآورد هیل; 62G32; secondary 60G70; Extreme value index; Least squares estimator; Hill estimator;
A functional law of the iterated logarithm for kernel-type estimators of the tail index
Keywords: برآورد هیل; primary 60G70; 62E20; secondary 60F15; 60F17; Hill estimator; Extreme value index; Tail quantile process; Strong consistency; Functional laws of the iterated logarithm;
Measuring tail thickness under GARCH and an application to extreme exchange rate changes
Keywords: برآورد هیل; Fat tails; Tail index; Stationary marginal distribution; GARCH; Hill estimator; Foreign exchange; C13; C14; F31;
Zipf's Law for cities: a cross-country investigation
Keywords: برآورد هیل; Cities; Zipf's Law; Pareto distribution; Hill estimator; C16; R12;