Fitting a Mejzler distribution to extreme value data
β Scribed by Ishay Weissman
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 367 KB
- Volume
- 61
- Category
- Article
- ISSN
- 0378-3758
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π SIMILAR VOLUMES
## Abstract In the application of extreme value analysis it is usually assumed that the size of the samples from which the extreme values are obtained is sufficiently large for the asymptotic extreme value distribution to be used. The necessary sample size depends upon the population distribution a
The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of stock markets indexes worldwide. The selection of the threshold parameter from empirical data and consequently, the determination of the exponent of