Statistical Inference and Application of Asymmetrical Generalized Pareto Distribution Based on Peaks-Over-Threshold Model

doi:10.3390/sym16030365

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	Statistical Inference and Application of Asymmetrical Generalized Pareto Distribution Based on Peaks-Over-Threshold Model
	Chen, Wenru 1; Zhao, Xu 1; Zhou, Mi 2; Chen, Haiqing 3; Ji, Qingqing 4,5; Cheng, Weihu 1
	2024-03-01
发表期刊	SYMMETRY-BASEL
卷号	16 期号:3 页码:20
摘要	Generalized Pareto distribution (GPD), an asymmetrical distribution, primarily models exceedances over a high threshold in many applications. Within the peaks-over-threshold (POT) framework, we consider a new GPD parameter estimation method to estimate a common tail risk measure, the value at risk (VaR). The proposed method is more suitable for the POT framework and makes full use of data information. Specifically, our estimation method builds upon the generalized probability weighted moments method and integrates it with the nonlinear weighted least squares method. We use exceedances for the GPD, minimizing the sum of squared differences between the sample and population moments of a function of GPD random variables. At the same time, the proposed estimator uses three iterations and assigns weight to further improving the estimated performance. Under Monte Carlo simulations and with a real heavy-tailed dataset, the simulation results show the advantage of the newly proposed estimator, particularly when VaRs are at high confidence levels. In addition, by simulating other heavy-tailed distributions, our method still exhibits good performance in estimating misjudgment distributions.
关键词	generalized Pareto distribution parameter estimation extreme quantile estimation extreme value theory
DOI	10.3390/sym16030365
收录类别	SCI
语种	英语
资助项目	National Office for Philosophy and Social Sciences
WOS研究方向	Science & Technology - Other Topics
WOS类目	Multidisciplinary Sciences
WOS记录号	WOS:001192996600001
出版者	MDPI
引用统计
文献类型	期刊论文
条目标识符	http://119.78.100.204/handle/2XEOYT63/38737
专题	中国科学院计算技术研究所
通讯作者	Zhao, Xu; Zhou, Mi
作者单位	1.Beijing Univ Technol, Sch Math Stat & Mech, Beijing 100124, Peoples R China 2.China Natl Environm Monitoring Ctr, Beijing 100012, Peoples R China 3.Nanjing Univ Finance & Econ, Sch Econ, Nanjing 210023, Peoples R China 4.Univ Chinese Acad Sci, Beijing 100049, Peoples R China 5.Chinese Acad Sci, Inst Comp Technol, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Chen, Wenru,Zhao, Xu,Zhou, Mi,et al. Statistical Inference and Application of Asymmetrical Generalized Pareto Distribution Based on Peaks-Over-Threshold Model[J]. SYMMETRY-BASEL,2024,16(3):20.
APA	Chen, Wenru,Zhao, Xu,Zhou, Mi,Chen, Haiqing,Ji, Qingqing,&Cheng, Weihu.(2024).Statistical Inference and Application of Asymmetrical Generalized Pareto Distribution Based on Peaks-Over-Threshold Model.SYMMETRY-BASEL,16(3),20.
MLA	Chen, Wenru,et al."Statistical Inference and Application of Asymmetrical Generalized Pareto Distribution Based on Peaks-Over-Threshold Model".SYMMETRY-BASEL 16.3(2024):20.