摘要翻译:
本文给出了Pareto分布和gamma分布之间的关系。这表明,第二个问题,经过适当的扩展,解释了极值理论在实际应用中出现的一些反常现象。这些结果对用帕累托分布拟合的某些现象是有用的,但同时,它们在很大的值时偏离了这个定律。给出了用新模型进行数据分析的两个实例。第一个是关于气候变率对热带气旋发生的影响。第二部分是对操作风险管理相关的总损失分布的分析。
---
英文标题:
《The full-tails gamma distribution applied to model extreme values》
---
作者:
Joan del castillo, Jalila Daoudi and Isabel Serra
---
最新提交年份:
2012
---
分类信息:
一级分类:Mathematics 数学
二级分类:Statistics Theory 统计理论
分类描述:Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计:例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
--
一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类:Statistics 统计学
二级分类:Applications 应用程序
分类描述:Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学,教育学,流行病学,工程学,环境科学,医学,物理科学,质量控制,社会科学
--
一级分类:Statistics 统计学
二级分类:Statistics Theory 统计理论
分类描述:stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近,贝叶斯推论,决策理论,估计,基础,推论,检验。
--
---
英文摘要:
In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory. The results are useful to certain phenomena that are fitted by the Pareto distribution but, at the same time, they present a deviation from this law for very large values. Two examples of data analysis with the new model are provided. The first one is on the influence of climate variability on the occurrence of tropical cyclones. The second one on the analysis of aggregate loss distributions associated to operational risk management.
---
PDF链接:
https://arxiv.org/pdf/1211.0130