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对于POT模型,我用峰度法选取阈值,然后利用MATLAB中的EVIM软件包估计参数(样本数853),所有文件运行也是在EVIM软件包目录下完成的,出现如下问题
(1)收益率数据乘以100后,即阈值也被放大100倍,运行报错
data=xlsread('data1.xlsx');
out=gpd(data,3.944405445840538,[])
运行结果:
错误使用 fminusub (line 16)
Objective function is undefined at initial point. Fminunc cannot continue.
出错 fminunc (line 439)
[x,FVAL,GRAD,HESSIAN,EXITFLAG,OUTPUT] = fminusub(funfcn,x, ...
出错 gpd (line 67)
[res.par_ests,res.funval,res.terminated,res.details] = fminunc('negloglikgpd',res.par_ests,opts,excess);
出错 rm1 (line 4)
out=gpd(data,3.944405445840538,[])
(2)收益率序列不乘以100,运行结果如下:
data=xlsread('data1.xlsx');
out=gpd(data,0.039444054458405,[])
运行结果
out =
par_ests: [-1.248790482490188 0.082325514512838]
funval: -1.182592767021184e+02
terminated: 2
details: [1x1 struct]
varcov: [2x2 double]
par_ses: [NaN NaN]
threshold: 0.039444054458405
data: [41x1 double]
p_less_thresh: 0.951934349355217
为何显示: par_ses: [NaN NaN]
本人不才,刚刚学习极值理论,很多东西还不太懂,请各位帮帮忙,非常感谢!
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