subject:(Tail index)

Cornell University

1. Nguyen, Duc. A Study Of The Tail Measure And Its Applications In Risk Modeling.

Degree: PhD, Applied Mathematics, 2013, Cornell University

► This dissertation has 4 chapters, in which we attempt to explore and analyze the structure of extremal data. The first chapter is a review of… (more)

Subjects/Keywords: tail index; regular variation; spectral measure

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APA (6^th Edition):

Nguyen, D. (2013). A Study Of The Tail Measure And Its Applications In Risk Modeling. (Doctoral Dissertation). Cornell University. Retrieved from http://hdl.handle.net/1813/34228

Chicago Manual of Style (16^th Edition):

Nguyen, Duc. “A Study Of The Tail Measure And Its Applications In Risk Modeling.” 2013. Doctoral Dissertation, Cornell University. Accessed February 27, 2021. http://hdl.handle.net/1813/34228.

MLA Handbook (7^th Edition):

Nguyen, Duc. “A Study Of The Tail Measure And Its Applications In Risk Modeling.” 2013. Web. 27 Feb 2021.

Vancouver:

Nguyen D. A Study Of The Tail Measure And Its Applications In Risk Modeling. [Internet] [Doctoral dissertation]. Cornell University; 2013. [cited 2021 Feb 27]. Available from: http://hdl.handle.net/1813/34228.

Council of Science Editors:

Nguyen D. A Study Of The Tail Measure And Its Applications In Risk Modeling. [Doctoral Dissertation]. Cornell University; 2013. Available from: http://hdl.handle.net/1813/34228

Georgia State University

2. Li, Chenxue. Some Novel Statistical Inferences.

Degree: PhD, Mathematics and Statistics, 2016, Georgia State University

URL: https://scholarworks.gsu.edu/math_diss/33

► In medical diagnostic studies, the area under the Receiver Operating Characteristic (ROC) curve (AUC) and Youden index are two summary measures widely used in… (more)

▼ In medical diagnostic studies, the area under the Receiver Operating Characteristic (ROC) curve (AUC) and Youden index are two summary measures widely used in the evaluation of the diagnostic accuracy of a medical test with continuous test results. The first half of this dissertation will highlight ROC analysis including extension of Youden index to the partial Youden index as well as novel confidence interval estimation for AUC and Youden index in the presence of covariates in induced linear regression models. Extensive simulation results show that the proposed methods perform well with small to moderate sized samples. In addition, some real examples will be presented to illustrate the methods. The latter half focuses on the application of empirical likelihood method in economics and finance. Two models draw our attention. The first one is the predictive regression model with independent and identically distributed errors. Some uniform tests have been proposed in the literature without distinguishing whether the predicting variable is stationary or nearly integrated. Here, we extend the empirical likelihood methods in Zhu, Cai and Peng (2014) with independent errors to the case of an AR error process. The proposed new tests do not need to know whether the predicting variable is stationary or nearly integrated, and whether it has a finite variance or an infinite variance. Another model we considered is a GARCH(1,1) sequence or an AR(1) model with ARCH(1) errors. It is known that the observations have a heavy tail and the tail index is determined by an estimating equation. Therefore, one can estimate the tail index by solving the estimating equation with unknown parameters replaced by Quasi Maximum Likelihood Estimation (QMLE), and profile empirical likelihood method can be employed to effectively construct a confidence interval for the tail index. However, this requires that the errors of such a model have at least finite fourth moment to ensure asymptotic normality with n^1/2 rate of convergence and Wilk's Theorem. We show that the finite fourth moment can be relaxed by employing some Least Absolute Deviations Estimate (LADE) instead of QMLE for the unknown parameters by noting that the estimating equation for determining the tail index is invariant to a scale transformation of the underlying model. Furthermore, the proposed tail index estimators have a normal limit with n^1/2 rate of convergence under minimal moment condition, which may have an infinite fourth moment, and Wilk's theorem holds for the proposed profile empirical likelihood methods. Hence a confidence interval for the tail index can be obtained without estimating any additional quantities such as asymptotic variance. Advisors/Committee Members: Gengsheng Qin, Liang Peng, Ruiyan Luo, Xin Qi.

Subjects/Keywords: ROC Analysis; Partial Youden Index; GPQ; AR Errors; Empirical Likelihood; Tail Index

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APA (6^th Edition):

Li, C. (2016). Some Novel Statistical Inferences. (Doctoral Dissertation). Georgia State University. Retrieved from https://scholarworks.gsu.edu/math_diss/33

Chicago Manual of Style (16^th Edition):

Li, Chenxue. “Some Novel Statistical Inferences.” 2016. Doctoral Dissertation, Georgia State University. Accessed February 27, 2021. https://scholarworks.gsu.edu/math_diss/33.

MLA Handbook (7^th Edition):

Li, Chenxue. “Some Novel Statistical Inferences.” 2016. Web. 27 Feb 2021.

Vancouver:

Li C. Some Novel Statistical Inferences. [Internet] [Doctoral dissertation]. Georgia State University; 2016. [cited 2021 Feb 27]. Available from: https://scholarworks.gsu.edu/math_diss/33.

Council of Science Editors:

Li C. Some Novel Statistical Inferences. [Doctoral Dissertation]. Georgia State University; 2016. Available from: https://scholarworks.gsu.edu/math_diss/33

Univerzitet u Beogradu

3. Ilić, Ivana, 1975-. Ocenjivanje indeksa repa raspodele korišćenjem nekompletnih uzoraka.

Degree: Matematički fakultet, 2015, Univerzitet u Beogradu

URL: https://fedorabg.bg.ac.rs/fedora/get/o:9292/bdef:Content/get

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Matematika-Verovatnoća i statistika / Mathematics-Probability and Statistics

Teza obrađuje ocenjivanje indeksa pravilne promenljivosti na nekompletnom uzorku zavisnih slučajnih veličina sa raspodelom teškog repa. Pod pretpostavkom… (more)

Subjects/Keywords: Hill estimator; incomplete samples; tail index; geometric-type estimator; extremal dependence

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APA (6^th Edition):

Ilić, Ivana, 1. (2015). Ocenjivanje indeksa repa raspodele korišćenjem nekompletnih uzoraka. (Thesis). Univerzitet u Beogradu. Retrieved from https://fedorabg.bg.ac.rs/fedora/get/o:9292/bdef:Content/get

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Ilić, Ivana, 1975-. “Ocenjivanje indeksa repa raspodele korišćenjem nekompletnih uzoraka.” 2015. Thesis, Univerzitet u Beogradu. Accessed February 27, 2021. https://fedorabg.bg.ac.rs/fedora/get/o:9292/bdef:Content/get.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Ilić, Ivana, 1975-. “Ocenjivanje indeksa repa raspodele korišćenjem nekompletnih uzoraka.” 2015. Web. 27 Feb 2021.

Vancouver:

Ilić, Ivana 1. Ocenjivanje indeksa repa raspodele korišćenjem nekompletnih uzoraka. [Internet] [Thesis]. Univerzitet u Beogradu; 2015. [cited 2021 Feb 27]. Available from: https://fedorabg.bg.ac.rs/fedora/get/o:9292/bdef:Content/get.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ilić, Ivana 1. Ocenjivanje indeksa repa raspodele korišćenjem nekompletnih uzoraka. [Thesis]. Univerzitet u Beogradu; 2015. Available from: https://fedorabg.bg.ac.rs/fedora/get/o:9292/bdef:Content/get

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

KTH

4. Segerfors, Ted. Spurious Heavy Tails.

Degree: Mathematical Statistics, 2015, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168199

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Since the financial crisis which started in 2007, the risk awareness in the financial sector is greater than ever. Financial institutions such as banks… (more)

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Since the financial crisis which started in 2007, the risk awareness in the financial sector is greater than ever. Financial institutions such as banks and insurance companies are heavily regulated in order to create a harmonic and resilient global economic environment. Sufficiently large capital buffers may protect institutions from bankruptcy due to some adverse financial events leading to an undesirable outcome for the company. In many regulatory frameworks, the institutions are obliged to estimate high quantiles of their loss distributions. This is relatively unproblematic when large samples of relevant historical data are available. Serious statistical problems appear when only small samples of relevant data are available. One possible solution would be to pool two or more samples that appear to have the same distribution, in order to create a larger sample. This thesis identifies the advantages and risks of pooling of small samples. For some mixtures of normally distributed samples, with what is considered to be the same variances, the pooled data may indicate heavy tails. Since a finite mixture of normally distributed samples has light tails, this is an example of spurious heavy tails. Even though two samples may appear to have the same distribution function it is not necessarily better to pool the samples in order to obtain a larger sample size with the aim of more accurate quantile estimation. For two normally distributed samples of sizes m and n and standard deviations s and v, we find that when v=s is approximately 2, n+m is less than 100 and m=(m+n) is approximately 0.75, then there is a considerable risk of believing that the two samples have equal variance and that the pooled sample has heavy tails.

Efter den finansiella krisen som hade sin start 2007 har riskmedvetenheten inom den finansiella sektorn ökat. Finansiella institutioner så som banker och försäkringsbolag är noga reglerade och kontrollerade för att skapa en stark och stabil världsekonomi. Genom att banker och försäkringsbolag enligt regelverken måste ha kapitalbuffertar som ska skydda mot konkurser vid oväntade och oönskade händelser skapas en mer harmonisk finansiell marknad. Dessa regelverk som institutionerna måste följa innebär ofta att de ansvariga måste skatta höga kvantiler av institutionens förväntade förlustfunktion. Att skapa en pålitligt modell och sedan skatta höga kvantiler är lätt när det finns mycket relevant data tillgänglig. När det inte finns tillr äckligt med historisk data uppkommer statistiska problem. En lösning på problemet är att poola två eller _era grupper av data som ser ut att komma från samma fördelningsfunktion för att på så sätt skapa en större grupp med historisk data tillgänglig. Detta arbetet går igenom fördelar och risker med att poola data när det inte finns tillräckligt med relevant historisk data för att skapa en pålitlig modell. En viss mix av normalfördelade…

Subjects/Keywords: Small samples; Tail index estimation; Normal mixture models; Heavy tails

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Segerfors, T. (2015). Spurious Heavy Tails. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168199

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Segerfors, Ted. “Spurious Heavy Tails.” 2015. Thesis, KTH. Accessed February 27, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168199.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Segerfors, Ted. “Spurious Heavy Tails.” 2015. Web. 27 Feb 2021.

Vancouver:

Segerfors T. Spurious Heavy Tails. [Internet] [Thesis]. KTH; 2015. [cited 2021 Feb 27]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168199.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Segerfors T. Spurious Heavy Tails. [Thesis]. KTH; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168199

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Universidade Nova

5. Lima, Mariana. Testing for tail breaks in currency returns.

Degree: 2016, Universidade Nova

URL: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/16800

► In this work project we study the tail properties of currency returns and analyze whether changes in the tail indices of these series have occurred… (more)

Subjects/Keywords: Heavy tails; Tail index; Tail breaks; Exchange rates; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA (6^th Edition):

Lima, M. (2016). Testing for tail breaks in currency returns. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/16800

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Lima, Mariana. “Testing for tail breaks in currency returns.” 2016. Thesis, Universidade Nova. Accessed February 27, 2021. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/16800.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Lima, Mariana. “Testing for tail breaks in currency returns.” 2016. Web. 27 Feb 2021.

Vancouver:

Lima M. Testing for tail breaks in currency returns. [Internet] [Thesis]. Universidade Nova; 2016. [cited 2021 Feb 27]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/16800.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lima M. Testing for tail breaks in currency returns. [Thesis]. Universidade Nova; 2016. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/16800

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Sydney

6. Xia, Fujie. Topics in dependence modelling .

Degree: 2014, University of Sydney

URL: http://hdl.handle.net/2123/11645

► This thesis focuses on modelling of dependence across random variables. It contains three essays: (1) Modelling and forecasting realised variance covariance matrices (VCM); (2) VaR-based… (more)

▼ This thesis focuses on modelling of dependence across random variables. It contains three essays: (1) Modelling and forecasting realised variance covariance matrices (VCM); (2) VaR-based diversification under non-linear dependence and heavy tails; and (3) Epsilon-complexity for bivariate copulas. In essay 1, a new model for modelling and forecasting realized VCMs is proposed. The approach is based on the Cholesky decomposition (CD) of realised VCMs using the Realised Kernel (RK) method on tick-by-tick data. The principal components of the Cholesky factorizations are analysed using the distribution of the realised VCMs. I transform dependent VCMs into independent orthogonal principal components. Then, a univariate model is used for the independent orthogonal principal component variables. The new model has several distinctive features. First we can use any standard univariate model for independent principal component. Second, it captures all dynamic interactions among variances and covariances of the realised VCMs. Third, it ensures that the forecast matrix is positive definite. Fourth, the model can handle a very large dimension of realised VCMs of financial assets. The model is essentially applicable in problems involving pricing of variance-dependent assets such as options and in general portfolio optimization. Simulation-based and empirical results from finance show that the model performs better than competitors. In essay 2, I investigate the VaR of a portfolio of copula-based fat-tailed random variables using the asymptotic theory and simulations. The research extends previous results on asymptotic behaviors of VaR of independent random variables under some loss probability. The copulas used for modelling the joint distributions in the study include Student-t, Frank, Clayton, Gumbel, Eyraud-Farlie-Gumbel-Morgenstem (EFGM), and Plackett, and both identical and non-identical marginal distributions are considered. We find that for the VaR of a portfolio of copula-based fat-tailed random variables under asymptotic small loss probability, if the tail index of the marginal distribution is larger than one then the diversification reduces risk but if it is smaller, then diversification increases risk. In non-asymptotic cases the threshold value can be very different from one, however. We find that the tail index threshold is a function of copula type, copula parameters, confidence level, and the difference between the tail indices of the marginals. With the tail index threshold we can identify cases when VaR satisfies the axiom of subadditivity as a practical risk measure. The findings are of interest in applications in portfolio risk management and risky assets allocation. In essay 3, I investigate the complexity of bivariate copulas by means of a new measure recently proposed by Darkhovsky and Pyriatinska (2013). I calculate the epsilon-complexity of an empirical copula of financial equities for given reconstruction errors. The relation between the epsilon-complexity and reconstruction error is then…

Subjects/Keywords: Covariance forecasting; Realised volatility; Copulas; Tail dependence; VaR; Threshold of tail index; Epsilon-complexity; Copula difference test

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Xia, F. (2014). Topics in dependence modelling . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/11645

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Xia, Fujie. “Topics in dependence modelling .” 2014. Thesis, University of Sydney. Accessed February 27, 2021. http://hdl.handle.net/2123/11645.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Xia, Fujie. “Topics in dependence modelling .” 2014. Web. 27 Feb 2021.

Vancouver:

Xia F. Topics in dependence modelling . [Internet] [Thesis]. University of Sydney; 2014. [cited 2021 Feb 27]. Available from: http://hdl.handle.net/2123/11645.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Xia F. Topics in dependence modelling . [Thesis]. University of Sydney; 2014. Available from: http://hdl.handle.net/2123/11645

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Linköping University

7. Borg, Elin. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach.

Degree: Economics, 2020, Linköping University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-166940

► This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study… (more)

Subjects/Keywords: Commodity futures contracts; Commodity producer index; Cross-quantilogram; Dependence structures; Spillovers; Tail dependence; Economics; Nationalekonomi

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APA (6^th Edition):

Borg, E. (2020). Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach. (Thesis). Linköping University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-166940

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Borg, Elin. “Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach.” 2020. Thesis, Linköping University. Accessed February 27, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-166940.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Borg, Elin. “Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach.” 2020. Web. 27 Feb 2021.

Vancouver:

Borg E. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach. [Internet] [Thesis]. Linköping University; 2020. [cited 2021 Feb 27]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-166940.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Borg E. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach. [Thesis]. Linköping University; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-166940

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Vilnius University

8. Skorniakov, Viktor. Asymptotically homogeneous Markov chains.

Degree: PhD, Mathematics, 2010, Vilnius University

URL: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_152954-43357 ;

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In the dissertation there is investigated a class of Markov chains defined by iterations of a function possessing a property of asymptotical homogeneity. Two problems… (more)

Subjects/Keywords: Markov chains; Stationary distribution; Tail index; Markovo grandinės; Stacionarus skirstinys; Uodegos indeksas

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APA (6^th Edition):

Skorniakov, V. (2010). Asymptotically homogeneous Markov chains. (Doctoral Dissertation). Vilnius University. Retrieved from http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_152954-43357 ;

Chicago Manual of Style (16^th Edition):

Skorniakov, Viktor. “Asymptotically homogeneous Markov chains.” 2010. Doctoral Dissertation, Vilnius University. Accessed February 27, 2021. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_152954-43357 ;.

MLA Handbook (7^th Edition):

Skorniakov, Viktor. “Asymptotically homogeneous Markov chains.” 2010. Web. 27 Feb 2021.

Vancouver:

Skorniakov V. Asymptotically homogeneous Markov chains. [Internet] [Doctoral dissertation]. Vilnius University; 2010. [cited 2021 Feb 27]. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_152954-43357 ;.

Council of Science Editors:

Skorniakov V. Asymptotically homogeneous Markov chains. [Doctoral Dissertation]. Vilnius University; 2010. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_152954-43357 ;

Vilnius University

9. Skorniakov, Viktor. Asimptotiškai homogeninės Markovo grandinės.

Degree: Dissertation, Mathematics, 2010, Vilnius University

URL: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_153005-15690 ;

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Disertacijoje tirta Markovo grandinių klasė, kurios iteracijos nusakomos atsitiktinėmis asimptotiškai homogeninėmis funkcijomis, ir išspręsti du uždaviniai: 1) surastos bendros sąlygos, kurios garantuoja vienintelio stacionaraus skirstinio… (more)

Subjects/Keywords: Markovo grandinės; Stacionarus skirstinys; Uodegos indeksas; Markov chains; Stationary distribution; Tail index

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Skorniakov, V. (2010). Asimptotiškai homogeninės Markovo grandinės. (Doctoral Dissertation). Vilnius University. Retrieved from http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_153005-15690 ;

Chicago Manual of Style (16^th Edition):

Skorniakov, Viktor. “Asimptotiškai homogeninės Markovo grandinės.” 2010. Doctoral Dissertation, Vilnius University. Accessed February 27, 2021. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_153005-15690 ;.

MLA Handbook (7^th Edition):

Skorniakov, Viktor. “Asimptotiškai homogeninės Markovo grandinės.” 2010. Web. 27 Feb 2021.

Vancouver:

Skorniakov V. Asimptotiškai homogeninės Markovo grandinės. [Internet] [Doctoral dissertation]. Vilnius University; 2010. [cited 2021 Feb 27]. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_153005-15690 ;.

Council of Science Editors:

Skorniakov V. Asimptotiškai homogeninės Markovo grandinės. [Doctoral Dissertation]. Vilnius University; 2010. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20101223_153005-15690 ;

University of Georgia

10. Vollmer, Jan Henning. A survey of Hill's estimator.

Degree: 2014, University of Georgia

URL: http://hdl.handle.net/10724/21198

► In this paper we will survey Hill’s estimator, which is one of the most popular estimators for the tail index of heavy-tailed distributions. Applications are… (more)

Subjects/Keywords: Hill\'s estimator; extreme value theory; tail index; regular variation; order statistics; asymptotic normality.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Vollmer, J. H. (2014). A survey of Hill's estimator. (Thesis). University of Georgia. Retrieved from http://hdl.handle.net/10724/21198

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Vollmer, Jan Henning. “A survey of Hill's estimator.” 2014. Thesis, University of Georgia. Accessed February 27, 2021. http://hdl.handle.net/10724/21198.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Vollmer, Jan Henning. “A survey of Hill's estimator.” 2014. Web. 27 Feb 2021.

Vancouver:

Vollmer JH. A survey of Hill's estimator. [Internet] [Thesis]. University of Georgia; 2014. [cited 2021 Feb 27]. Available from: http://hdl.handle.net/10724/21198.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Vollmer JH. A survey of Hill's estimator. [Thesis]. University of Georgia; 2014. Available from: http://hdl.handle.net/10724/21198

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Technical University of Lisbon

11. Nascimento, Bruno Miguel da Silva. Estimação do índice de cauda num contexto de dependência.

Degree: 2016, Technical University of Lisbon

URL: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12967

►

Mestrado em Econometria Aplicada e Previsão

O presente trabalho tem como objetivo analisar o comportamento de um conjunto de estimadores do índice de cauda, num… (more)

▼

Mestrado em Econometria Aplicada e Previsão

O presente trabalho tem como objetivo analisar o comportamento de um conjunto de estimadores do índice de cauda, num contexto de dependência dos dados. O índice de cauda mede o decaimento da cauda das distribuições com caudas pesadas e permite determinar os momentos finitos de uma variável aleatória. Os estimadores analisados foram o estimador de Gabaix and Ibragimov (2011), Hill (1975) e Nicolau and Rodrigues (2015). Esta análise foi efetuada através de Simulações de Monte Carlo (SMC), onde foram considerados processo geradores de dados com e sem dependência, e com erros provenientes de distribuições com caudas pesadas, i.e. as caudas da distribuição tem uma massa probabilística significativa. Os resultados apontam para que o estimador de Hill, considerando o nível de truncagem ótimo (k), tenha o melhor desempenho sob os processos de dados considerados, contudo o k, em geral, é desconhecido e de difícil estimação. Por sua vez, o estimador de Nicolau and Rodrigues (2015) apresenta uma robustez face ao desconhecimento do k, quando comparado com os outros estimadores.

The main goal of this paper is to analyse the behaviour of tail index estimators in a context of data dependence. The tail index estimator measures the distribution tails decay, and allows to set the finite moments of a random variable. The estimators studied was Gabaix and Ibragimov (2011), Hill (1975) and Nicolau and Rodrigues (2015). To do this analysis, we will use a Monte Carlo Simulation (MCS), where the data generating process can have dependence, or not, and the errors follow a heavily tailed distribution, i.e. a significant mass of the probability distribution is located in the tails of the distribution. The results showed that, when truncation level (k) is known, the Hill estimator has the best results under the specific data generating processes chosen. However, k most of the times is unknown and hard to estimate. On the other hand, the Nicolau and Rodrigues (2015) estimator seems to be robust to absent estimations of k, when compared with others estimators.

info:eu-repo/semantics/publishedVersion

Advisors/Committee Members: Nicolau, João.

Subjects/Keywords: índice de cauda; dependência; estimador GI11; estimador NR15; estimador Hill; tail index; dependence; GI11 estimator; NR15 estimator; Hill estimator

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Nascimento, B. M. d. S. (2016). Estimação do índice de cauda num contexto de dependência. (Thesis). Technical University of Lisbon. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12967

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Nascimento, Bruno Miguel da Silva. “Estimação do índice de cauda num contexto de dependência.” 2016. Thesis, Technical University of Lisbon. Accessed February 27, 2021. http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12967.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Nascimento, Bruno Miguel da Silva. “Estimação do índice de cauda num contexto de dependência.” 2016. Web. 27 Feb 2021.

Vancouver:

Nascimento BMdS. Estimação do índice de cauda num contexto de dependência. [Internet] [Thesis]. Technical University of Lisbon; 2016. [cited 2021 Feb 27]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12967.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Nascimento BMdS. Estimação do índice de cauda num contexto de dependência. [Thesis]. Technical University of Lisbon; 2016. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12967

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

NSYSU

12. Huang, Guo-lun. Tail Risk Trading Strategy Using Volatility-of-volatility Index.

Degree: Master, Finance, 2018, NSYSU

URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0029118-142947

► The purpose of this paper is to use a new model-free measure to proxy for tail risk and exploit option induced order imbalance (OOIB) to… (more)

Subjects/Keywords: Order Imbalance; Market Maker Delta Hedge; VVIX index; Volatility-of-volatility; Tail Risk; Lee and Ready Classification Algorithm; Market Microstructure

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Huang, G. (2018). Tail Risk Trading Strategy Using Volatility-of-volatility Index. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0029118-142947

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Huang, Guo-lun. “Tail Risk Trading Strategy Using Volatility-of-volatility Index.” 2018. Thesis, NSYSU. Accessed February 27, 2021. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0029118-142947.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Huang, Guo-lun. “Tail Risk Trading Strategy Using Volatility-of-volatility Index.” 2018. Web. 27 Feb 2021.

Vancouver:

Huang G. Tail Risk Trading Strategy Using Volatility-of-volatility Index. [Internet] [Thesis]. NSYSU; 2018. [cited 2021 Feb 27]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0029118-142947.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Huang G. Tail Risk Trading Strategy Using Volatility-of-volatility Index. [Thesis]. NSYSU; 2018. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0029118-142947

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Michigan

13. Hsieh, Ping-Hung. Robustness of tail index estimation.

Degree: PhD, Statistics, 1997, University of Michigan

URL: http://hdl.handle.net/2027.42/130261

► One of the important issues in the study of long-tailed, or outlier-prone, probability distributions is the estimation of the tail index α, which measures the… (more)

Subjects/Keywords: Estimation; Hill Estimator; Index; Robustness; Spacing Statistics; Tail

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Hsieh, P. (1997). Robustness of tail index estimation. (Doctoral Dissertation). University of Michigan. Retrieved from http://hdl.handle.net/2027.42/130261

Chicago Manual of Style (16^th Edition):

Hsieh, Ping-Hung. “Robustness of tail index estimation.” 1997. Doctoral Dissertation, University of Michigan. Accessed February 27, 2021. http://hdl.handle.net/2027.42/130261.

MLA Handbook (7^th Edition):

Hsieh, Ping-Hung. “Robustness of tail index estimation.” 1997. Web. 27 Feb 2021.

Vancouver:

Hsieh P. Robustness of tail index estimation. [Internet] [Doctoral dissertation]. University of Michigan; 1997. [cited 2021 Feb 27]. Available from: http://hdl.handle.net/2027.42/130261.

Council of Science Editors:

Hsieh P. Robustness of tail index estimation. [Doctoral Dissertation]. University of Michigan; 1997. Available from: http://hdl.handle.net/2027.42/130261

Universidade Nova

14. Maruhashi, Jin. Tail index estimation.

Degree: 2017, Universidade Nova

URL: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26130

► This study peruses the leptokurtic evolution of regional banking indices belonging to the Americas, Asia, Australasia and Europe from 1973-2016 as measured by the tail… (more)

Subjects/Keywords: Hill statistic; Rank-size statistic; Value-at-risk; Tail index estimation; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Maruhashi, J. (2017). Tail index estimation. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26130

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Maruhashi, Jin. “Tail index estimation.” 2017. Thesis, Universidade Nova. Accessed February 27, 2021. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26130.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Maruhashi, Jin. “Tail index estimation.” 2017. Web. 27 Feb 2021.

Vancouver:

Maruhashi J. Tail index estimation. [Internet] [Thesis]. Universidade Nova; 2017. [cited 2021 Feb 27]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26130.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Maruhashi J. Tail index estimation. [Thesis]. Universidade Nova; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26130

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Maryland

15. Setty, Venkat Anurag. APPLICATION OF FLUCTUATION ANALYSIS TO CHARACTERIZE MULTI-SCALE NATURE AND PREDICTABILITY OF COMPLEX SYSTEMS.

Degree: Chemical Physics, 2014, University of Maryland

URL: http://hdl.handle.net/1903/16211

► Complexity is a result of interactions among individual components of a distributed system, each with their own dynamical time scale. Statistical techniques such as fluctuation… (more)

▼ Complexity is a result of interactions among individual components of a distributed system, each with their own dynamical time scale. Statistical techniques such as fluctuation analysis are used to quantify extent of long range correlations within time series data by estimating a scaling exponent commonly known as Hurst exponent. Data from magnetospheric dynamics, physiology and finance are known to show multi-exponent nature (two exponents in particular) in their fluctuation analysis with a crossover between the power laws. This correlation crossover can be seen due to the statistical approach taken in the analysis of a range of systems with differing dynamical time scales, particularly due to the nature of interactions with one another. We refer to this property as multi-scale nature in the time series data from complex systems. The main contributions of the thesis are as follows: Study of crossover in fluctuation analysis of data from magnetosphere, physiology and finance: We propose an innovative regression scheme, whose mathematical model well describes two exponent nature with an intermediate crossover regime seen in fluctuation analysis - the Hyperbolic regression. Slopes of the asymptotes of the hyperbola are the Hurst exponents, and, center of the resulting hyperbolic fit is an estimate of the correlation crossover time. It is key to note that in this regression, there are no assumptions made about the crossover time, unlike previous approach to crossover fitting. Different data sets corresponding to different physical processes demonstrate multi-scale nature. However, each data presents a unique challenge to be addressed, as a result of characterization of its scaling crossover. Application of hyperbolic regression on the crossover seen in fluctuation analysis of auroral electrojet index data from magnetosphere resulted in estimation of Hurst exponents before and after the crossover. Also, the correlation crossover time scale is now measured by improved modeling of such data using a stochastic model that demonstrates crossover in fluctuation functions - the OU-Langevin model. Characterization of nature of crossover seen in fluctuation analysis of generalized volatility within financial index data has shown differing nature of financial markets. Such a study would help characterize individual markets utilizing features which were not used previously. Heart rate variability data from healthy patients and patients with congestive heart failure demonstrate differing extent of crossover within the crossover seen in fluctuation functions. This resulted in proposal of a parameter i.e., the extent of crossover parameter that can be used to distinguish patients with the congestive heart failure ailment from normal cases. Quantifying predictability of complex systems using Hurst exponents: Predictability of complex systems suffers due to noise in the data. Long range correlations in noise are seen to cause extreme events or build ups leading to extreme events in such data. The increased… Advisors/Committee Members: Sharma, A. Surjalal (advisor).

Subjects/Keywords: Theoretical physics; Complex Multi-scale systems; Detrended Fluctuation Analysis; Hurst exponent; Predictability; Scaling crossover analysis; Tail index

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Setty, V. A. (2014). APPLICATION OF FLUCTUATION ANALYSIS TO CHARACTERIZE MULTI-SCALE NATURE AND PREDICTABILITY OF COMPLEX SYSTEMS. (Thesis). University of Maryland. Retrieved from http://hdl.handle.net/1903/16211

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Setty, Venkat Anurag. “APPLICATION OF FLUCTUATION ANALYSIS TO CHARACTERIZE MULTI-SCALE NATURE AND PREDICTABILITY OF COMPLEX SYSTEMS.” 2014. Thesis, University of Maryland. Accessed February 27, 2021. http://hdl.handle.net/1903/16211.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Setty, Venkat Anurag. “APPLICATION OF FLUCTUATION ANALYSIS TO CHARACTERIZE MULTI-SCALE NATURE AND PREDICTABILITY OF COMPLEX SYSTEMS.” 2014. Web. 27 Feb 2021.

Vancouver:

Setty VA. APPLICATION OF FLUCTUATION ANALYSIS TO CHARACTERIZE MULTI-SCALE NATURE AND PREDICTABILITY OF COMPLEX SYSTEMS. [Internet] [Thesis]. University of Maryland; 2014. [cited 2021 Feb 27]. Available from: http://hdl.handle.net/1903/16211.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Setty VA. APPLICATION OF FLUCTUATION ANALYSIS TO CHARACTERIZE MULTI-SCALE NATURE AND PREDICTABILITY OF COMPLEX SYSTEMS. [Thesis]. University of Maryland; 2014. Available from: http://hdl.handle.net/1903/16211

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cincinnati

16. Zhang, Zongjun. Adaptive Robust Regression Approaches in data analysis and their Applications.

Degree: PhD, Arts and Sciences: Mathematics (Statistics), 2015, University of Cincinnati

URL: http://rave.ohiolink.edu/etdc/view?acc_num=ucin1445343114

► In this dissertation, we proposed several novel Adaptive Robust Approaches. The main purpose of the proposed adaptive robust approaches is: (a) To facilitate the decision… (more)

▼ In this dissertation, we proposed several novel Adaptive Robust Approaches. The main purpose of the proposed adaptive robust approaches is: (a) To facilitate the decision on whether it is more pertinent to use a robust or a standard technique. (b) To provide an easy but relatively safe alternative to robust approaches without too much struggle about how to choose one among a variety of robust approaches and how to select the parameters (such as trimming portion, tuning constant). The proposed adaptive robust regression approaches are constructed by combining regular robust regressions (such as M-estimators/ LTS ) with application of optimization procedure and characteristics of data in terms of tail weight index(TWI) and normality test. Three main adaptive robust regression approaches are proposed and the related algorithms are also implemented in programs (SAS MACROS and S-PLUS application): (1) Adaptive Robust M-Estimator with optimal tuning constant based on the empirical distribution function (EDF) of the standardized absolute residuals. The algorithm is similar to standard IRWLS, but the TWI and normality test of residuals are investigated to adjust the tuning constant in each iteration within iterative re-weighted least square algorithm (IRWLS) loop. The adaptive approach is implemented in SAS macro %BIWREG()(with Parameter ADAPT=TW).(2) Adaptive Robust M-Estimator with optimal tuning constant based on minimizing the asymptotic variance estimate. Two different algorithms are proposed and compared. The adaptive approaches are implemented in SAS macro %BIWREG(). One is statically adaptive approach (with Parameter ADAPT=AV_S) in which the optimal tuning constant is obtained through many IRWLS processes. The other is dynamically adaptive approach (with Parameter ADAPT=AV_D).(3) Least adaptively trimmed sum of squares estimators with adjusted cut-off (denoted as LATS_AC ). The proposed approach is implemented in the Menu-driven application (Adaptive LTS Regression V.1 in S-Plus).The proposed adaptive robust approaches were demonstrated in both extensive simulation studies and application examples. Advisors/Committee Members: Song, Seongho (Committee Chair).

Subjects/Keywords: Statistics; Adaptive; Robust; M-Estimator; tuning constant; tail weight index; iterative re-weighted least square algorithm

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Zhang, Z. (2015). Adaptive Robust Regression Approaches in data analysis and their Applications. (Doctoral Dissertation). University of Cincinnati. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=ucin1445343114

Chicago Manual of Style (16^th Edition):

Zhang, Zongjun. “Adaptive Robust Regression Approaches in data analysis and their Applications.” 2015. Doctoral Dissertation, University of Cincinnati. Accessed February 27, 2021. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1445343114.

MLA Handbook (7^th Edition):

Zhang, Zongjun. “Adaptive Robust Regression Approaches in data analysis and their Applications.” 2015. Web. 27 Feb 2021.

Vancouver:

Zhang Z. Adaptive Robust Regression Approaches in data analysis and their Applications. [Internet] [Doctoral dissertation]. University of Cincinnati; 2015. [cited 2021 Feb 27]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=ucin1445343114.

Council of Science Editors:

Zhang Z. Adaptive Robust Regression Approaches in data analysis and their Applications. [Doctoral Dissertation]. University of Cincinnati; 2015. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=ucin1445343114

Universidade de Brasília

17. Luciene Pinheiro Lopes. Um estimador com estrutura de U-estatística para o índice caudal de distribuições de cauda pesada.

Degree: 2007, Universidade de Brasília

URL: http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=2184

►

No presente trabalho, estudamos o estimador proposto por Fan (2004), para o índice caudal de distribuições no domínio de atração de leis -estáveis, com 0… (more)

Subjects/Keywords: distribuição estável; domínio de atração; estatística matemática; distribuição (probabilidades); equações diferenciais não-lineares - teoria assintótica; MATEMATICA; U-statistics; stable law; cauda pesada; tail index; domain of attraction; U-estatística; heavy tail; índice caudal; análise de variância

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Lopes, L. P. (2007). Um estimador com estrutura de U-estatística para o índice caudal de distribuições de cauda pesada. (Thesis). Universidade de Brasília. Retrieved from http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=2184

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Lopes, Luciene Pinheiro. “Um estimador com estrutura de U-estatística para o índice caudal de distribuições de cauda pesada.” 2007. Thesis, Universidade de Brasília. Accessed February 27, 2021. http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=2184.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Lopes, Luciene Pinheiro. “Um estimador com estrutura de U-estatística para o índice caudal de distribuições de cauda pesada.” 2007. Web. 27 Feb 2021.

Vancouver:

Lopes LP. Um estimador com estrutura de U-estatística para o índice caudal de distribuições de cauda pesada. [Internet] [Thesis]. Universidade de Brasília; 2007. [cited 2021 Feb 27]. Available from: http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=2184.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lopes LP. Um estimador com estrutura de U-estatística para o índice caudal de distribuições de cauda pesada. [Thesis]. Universidade de Brasília; 2007. Available from: http://bdtd.bce.unb.br/tedesimplificado/tde_busca/arquivo.php?codArquivo=2184

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Michigan

18. Sousa, Bruno C. A contribution to the estimation of the tail index of heavy -tailed distributions.

Degree: PhD, Statistics, 2002, University of Michigan

URL: http://hdl.handle.net/2027.42/132932

► The problem of estimating the tail index in heavy-tailed distributions is very important in a variety of applications. Three new graphical methods, the H⁽^k⁾… (more)

Subjects/Keywords: Contribution; Estimation; Heavy-tailed Distributions; Pareto Distribution; Sum Plot; Tail Index

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Sousa, B. C. (2002). A contribution to the estimation of the tail index of heavy -tailed distributions. (Doctoral Dissertation). University of Michigan. Retrieved from http://hdl.handle.net/2027.42/132932

Chicago Manual of Style (16^th Edition):

Sousa, Bruno C. “A contribution to the estimation of the tail index of heavy -tailed distributions.” 2002. Doctoral Dissertation, University of Michigan. Accessed February 27, 2021. http://hdl.handle.net/2027.42/132932.

MLA Handbook (7^th Edition):

Sousa, Bruno C. “A contribution to the estimation of the tail index of heavy -tailed distributions.” 2002. Web. 27 Feb 2021.

Vancouver:

Sousa BC. A contribution to the estimation of the tail index of heavy -tailed distributions. [Internet] [Doctoral dissertation]. University of Michigan; 2002. [cited 2021 Feb 27]. Available from: http://hdl.handle.net/2027.42/132932.

Council of Science Editors:

Sousa BC. A contribution to the estimation of the tail index of heavy -tailed distributions. [Doctoral Dissertation]. University of Michigan; 2002. Available from: http://hdl.handle.net/2027.42/132932

Universidade Nova

19. Neumann, Christian. Time and cross-sectional differences in the tail behavior of Euro interest rate future returns.

Degree: 2017, Universidade Nova

URL: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26209

► As response to the financial crisis in 2007/08 and the European sovereign debt crisis, the ECB started to conduct expansionary monetary policy on an unprecedented… (more)

Subjects/Keywords: Extreme value theory; Tail index estimation; Optimal extreme sample fraction; Structural change test; Government bond futures; Market risk management; Monetary policy; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Neumann, C. (2017). Time and cross-sectional differences in the tail behavior of Euro interest rate future returns. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26209

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Neumann, Christian. “Time and cross-sectional differences in the tail behavior of Euro interest rate future returns.” 2017. Thesis, Universidade Nova. Accessed February 27, 2021. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26209.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Neumann, Christian. “Time and cross-sectional differences in the tail behavior of Euro interest rate future returns.” 2017. Web. 27 Feb 2021.

Vancouver:

Neumann C. Time and cross-sectional differences in the tail behavior of Euro interest rate future returns. [Internet] [Thesis]. Universidade Nova; 2017. [cited 2021 Feb 27]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26209.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Neumann C. Time and cross-sectional differences in the tail behavior of Euro interest rate future returns. [Thesis]. Universidade Nova; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/26209

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

20. WANG WEI. Moment identities and a right tail index in insurance.

Degree: 2003, National University of Singapore

URL: http://scholarbank.nus.edu.sg/handle/10635/17527

Subjects/Keywords: moments; central moments; tial ordering; stop-loss premium; tail index

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

WEI, W. (2003). Moment identities and a right tail index in insurance. (Thesis). National University of Singapore. Retrieved from http://scholarbank.nus.edu.sg/handle/10635/17527

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

WEI, WANG. “Moment identities and a right tail index in insurance.” 2003. Thesis, National University of Singapore. Accessed February 27, 2021. http://scholarbank.nus.edu.sg/handle/10635/17527.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

WEI, WANG. “Moment identities and a right tail index in insurance.” 2003. Web. 27 Feb 2021.

Vancouver:

WEI W. Moment identities and a right tail index in insurance. [Internet] [Thesis]. National University of Singapore; 2003. [cited 2021 Feb 27]. Available from: http://scholarbank.nus.edu.sg/handle/10635/17527.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

WEI W. Moment identities and a right tail index in insurance. [Thesis]. National University of Singapore; 2003. Available from: http://scholarbank.nus.edu.sg/handle/10635/17527

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

21. Chautru, Emilie. Statistiques multivariées pour l'analyse du risque alimentaire : Multivariate statistics for dietary risk analysis.

Degree: Docteur es, Signal et images, 2013, Paris, ENST

URL: http://www.theses.fr/2013ENST0045

►

Véritable carrefour de problématiques économiques, biologiques, sociologiques, culturelles et sanitaires, l’alimentation suscite de nombreuses polémiques. Dans un contexte où les échanges mondiaux facilitent le transport… (more)

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Véritable carrefour de problématiques économiques, biologiques, sociologiques, culturelles et sanitaires, l’alimentation suscite de nombreuses polémiques. Dans un contexte où les échanges mondiaux facilitent le transport de denrées alimentaires produites dans des conditions environnementales diverses, où la consommation de masse encourage les stratégies visant à réduire les coûts et maximiser le volume de production (OGM, pesticides, etc.) il devient nécessaire de quantifier les risques sanitaires que de tels procédés engendrent. Notre intérêt se place ici sur l’étude de l’exposition chronique, de l’ordre de l’année, à un ensemble de contaminants dont la nocivité à long terme est d’ores et déjà établie. Les dangers et bénéfices de l’alimentation ne se restreignant pas à l’ingestion ou non de substances toxiques, nous ajoutons à nos objectifs l’étude de certains apports nutritionnels. Nos travaux se centrent ainsi autour de trois axes principaux. Dans un premier temps, nous nous intéressons à l'analyse statistique des très fortes expositions chroniques à une ou plusieurs substances chimiques, en nous basant principalement sur des résultats issus de la théorie des valeurs extrêmes. Nous adaptons ensuite des méthodes d'apprentissage statistique de type ensembles de volume minimum pour l'identification de paniers de consommation réalisant un compromis entre risque toxicologique et bénéfice nutritionnel. Enfin, nous étudions les propriétés asymptotiques d'un certain nombre d'estimateurs permettant d'évaluer les caractéristiques de l'exposition, qui prennent en compte le plan de sondage utilisé pour collecter les données.

At a crossroads of economical, sociological, cultural and sanitary issues, dietary analysis is of major importance for public health institutes. When international trade facilitates the transportation of foodstuffs produced in very different environmental conditions, when conspicuous consumption encourages profitable strategies (GMO, pesticides, etc.), it is necessary to quantify the sanitary risks engendered by such economic behaviors. We are interested in the evaluation of chronic types of exposure (at a yearly scale) to food contaminants, the long-term toxicity of which is already well documented. Because dietary risk and benefit is not limited to the abuse or the avoidance of toxic substances, nutritional intakes are also considered. Our work is thus organized along three main lines of research. We first consider the statistical analysis of very high long-term types of exposure to one or more chemical elements present in the food, adopting approaches in keeping with extreme value theory. Then, we adapt classical techniques borrowed from the statistical learning field concerning minimum volume set estimation in order to identify dietary habits that realize a compromise between toxicological risk and nutritional benefit. Finally, we study the asymptotic properties of a number of statistics that can assess the characteristics of the distribution of individual exposure, which take into account the…

Advisors/Committee Members: Clémençon, Stéphan (thesis director), Volatier, Jean-Luc (thesis director).

Subjects/Keywords: Apports nutritionnels de long terme; Mesure spectrale; Théorie des sondages; Processus empiriques; Estimation de l'indice de valeurs extrêmes; Ensembles de volume minimum; U-statistiques; Risque-bénéfice; Usual intakes; Spectral measure; Survey sampling; Empirical processes; Tail index estimation; Minimum volume sets; U-statistics; Risk-benefit

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Chautru, E. (2013). Statistiques multivariées pour l'analyse du risque alimentaire : Multivariate statistics for dietary risk analysis. (Doctoral Dissertation). Paris, ENST. Retrieved from http://www.theses.fr/2013ENST0045

Chicago Manual of Style (16^th Edition):

Chautru, Emilie. “Statistiques multivariées pour l'analyse du risque alimentaire : Multivariate statistics for dietary risk analysis.” 2013. Doctoral Dissertation, Paris, ENST. Accessed February 27, 2021. http://www.theses.fr/2013ENST0045.

MLA Handbook (7^th Edition):

Chautru, Emilie. “Statistiques multivariées pour l'analyse du risque alimentaire : Multivariate statistics for dietary risk analysis.” 2013. Web. 27 Feb 2021.

Vancouver:

Chautru E. Statistiques multivariées pour l'analyse du risque alimentaire : Multivariate statistics for dietary risk analysis. [Internet] [Doctoral dissertation]. Paris, ENST; 2013. [cited 2021 Feb 27]. Available from: http://www.theses.fr/2013ENST0045.

Council of Science Editors:

Chautru E. Statistiques multivariées pour l'analyse du risque alimentaire : Multivariate statistics for dietary risk analysis. [Doctoral Dissertation]. Paris, ENST; 2013. Available from: http://www.theses.fr/2013ENST0045

York University

22. Kye, Yisub. Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks.

Degree: PhD, Mathematics & Statistics, 2020, York University

URL: https://yorkspace.library.yorku.ca/xmlui/handle/10315/37439

► In the nowadays reality of prudent risk management, the problem of determining aggregate risk capital in financial entities has been intensively studied for quite long.… (more)

▼ In the nowadays reality of prudent risk management, the problem of determining aggregate risk capital in financial entities has been intensively studied for quite long. As a result, canonical methods have been developed and even embedded in regulatory accords. While applauded by some and questioned by others, these methods provide a much desired standard benchmark for everyone. The situation is very different when the aggregate risk capital needs to be allocated to the business units of a financial entity. That is, there are overwhelmingly many ways to conduct the allocation exercise, and there is arguably no standard method to do so on the horizon. Two overarching approaches to allocate the aggregate risk capital stand out. These are the top-down approach that entails that the allocation exercise is imposed by the corporate centre, and the bottom-up approach that implies that the allocation of the aggregate risk to business units is informed by these units. Briefly, the top-down allocations start with the aggregate risk capital that is then replenished among business units according to the views of the centre, thus limiting the inputs from the business units. The bottom-up approach does start with the business units, but it is, as a rule, too granular, and so may lead to missing the wood for the trees. The first chapter of this dissertation is concerned with the bottom-up approach to allocating the aggregate risk capital. Namely, we put forward a general theoretical framework for the multiplicative background risk model that allows for arbitrarily distributed idiosyncratic and systemic risk factors. We reveal links between the just-mentioned general structure and the one with the exponentially distributed idiosyncratic risk factors (a key player in the modern actuarial modelling), study relevant theoretical properties of the new structure, and discuss important special cases. Also, we construct realistic numerical examples borrowed from the context of the determination and allocation of economic capital. The examples suggest that a little departure from exponentiality can have substantial impacts on the outcome of risk analysis. In the second chapter of this dissertation, we question the way in which the risk allocation practice is conducted in the state of the art and present an alternative that comes from the context of the distributions defined on the multidimensional simplex. More specifically, we put forward a new family of mixed-scaled Dirichlet distributions that contain the classical Dirichlet distribution as a special case, exhibit a multitude of desirable closure properties, and emerge naturally within the multivariate risk analysis context. As a by-product, our invention revisits the proportional allocation rule that is often used in applications. Interestingly, we are able to unify the top-down and the bottom-up approaches to allocating the aggregate risk capital into one encompassing method. During the study underlying the present dissertation, we rediscovered certain problems of the… Advisors/Committee Members: Furman, Edward (advisor).

Subjects/Keywords: Economics; Systemic risk; size-biased distribution; phase-type distribution; conditional tail expectation; economic capital allocation; Risk capital allocation; Proportional allocation; Weighted allocation; Dirichlet distribution; Mixedgamma distribution; Gini index; Size-bias; Fox-H distribution

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Kye, Y. (2020). Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks. (Doctoral Dissertation). York University. Retrieved from https://yorkspace.library.yorku.ca/xmlui/handle/10315/37439

Chicago Manual of Style (16^th Edition):

Kye, Yisub. “Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks.” 2020. Doctoral Dissertation, York University. Accessed February 27, 2021. https://yorkspace.library.yorku.ca/xmlui/handle/10315/37439.

MLA Handbook (7^th Edition):

Kye, Yisub. “Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks.” 2020. Web. 27 Feb 2021.

Vancouver:

Kye Y. Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks. [Internet] [Doctoral dissertation]. York University; 2020. [cited 2021 Feb 27]. Available from: https://yorkspace.library.yorku.ca/xmlui/handle/10315/37439.

Council of Science Editors:

Kye Y. Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks. [Doctoral Dissertation]. York University; 2020. Available from: https://yorkspace.library.yorku.ca/xmlui/handle/10315/37439

Pontifical Catholic University of Rio de Janeiro

23. CHRISTIAM MIGUEL GONZALES CHAVEZ. [en] VALUE AT RISK A COMPARISON OF METHODS TO CHOOSE THE SAMPLE FRACTION IN TAIL INDEX ESTIMATION OF GENERALIZED EXTREME VALUE DISTRIBUTION.

Degree: 2002, Pontifical Catholic University of Rio de Janeiro

URL: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=2908

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[pt] Valor em Risco -VaR- já é parte das ferramentas habituais que um analista financeiro utiliza para estimar o risco de mercado. Na implementação do… (more)

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[pt] Valor em Risco -VaR- já é parte das ferramentas habituais que um analista financeiro utiliza para estimar o risco de mercado. Na implementação do VaR é necessário que seja estimados quantis de baixa probabilidade para a distribuição condicional dos retornos dos portfólios. A metodologia tradicional para o cálculo do VaR requer a estimação de um modelo tipo GARCH com distribuição normal. Entretanto, a hipótese de normalidade condicional nem sempre é adequada, principalmente quando se deseja estimar o VaR em períodos atípicos, caracterizados pela ocorrência de eventos extremos. Nesta situações a distribuição condicional deve apresentar excesso de curtose. O uso de distribuições derivadas do Teorema do Valor Extremos -TVE-, conhecidas coletivamente como GEV,associadas aos modelos tipo GARCH, tornou possível o cálculo do VaR nestas situações.Um parâmetro chave nas distribuições da família GEV é o índice de cauda, o qual pode ser estimado através do estimador de Hill. Entretanto este estimador apresenta muita sensibilidade em termos de variância e viés com respeito à fração amostral utilizada na sua estimação. O objetivo principal desta dissertação foi fazer uma comparação entre três métodos de escolha da fração amostral, recentemente sugeridos na literatura: o método bootstrap duplo Danielsson, de Haan, Peng e de Vries 1999, o método threshold Guillou e Hall 2001 e o Hill plot alternativo Drees, de Haan e Resnick 2000. A avaliação dos métodos foi feita através do teste de cobertura condicional de Christoffersen 1998, o qual foi aplicado às séries de retornos dos índices: NASDAQ, NIKKEY,MERVAL e IBOVESPA. Os nossos resultados indicam que os três métodos apresentam aproximadamente o mesmo desempenho, com uma ligeira vantagem dos métodos bootstrap duplo e o threshold sobre o Hill plot alternativo, porque este ultimo tem um componente normativo na determinação do índice de cauda ótimo.

[en] Value at Risk -VaR- is already part of the toolkit of financial analysts assessing market risk. In order to implement VaR it is needed to estimate low quantiles of the portfolio returns distribution. Traditional methodologies combine a normal conditional distribution together with ARCH type models to accomplish this goal. Albeit well succeed in evaluating risk for typical periods, this methodology has not been able to accommodate events that occur with very low probabilities. For these situations one needs conditional distributions with excess of kurtosis. The use of distributions derived from the Extreme Value Theory -EVT-, collectively known as Generalized Extreme Value distribution -GEV-, together with ARCH type models have made it possible to address this problem in a proper framework. A key parameter in the GEV distribution is the tail index, which can be estimated by Hill`s estimator. Hill`s estimator is very sensible, in terms of bias and RMSE, to the sample fraction that is used in its estimation. The objective of this dissertation is to compare three recently suggested methods presented in the statistical literature: the…

Advisors/Committee Members: CRISTIANO AUGUSTO COELHO FERNANDES.

Subjects/Keywords: [pt] VALOR EM RISCO; [en] VALUE AT RISK; [pt] INDICE DE CAUDA; [en] TAIL INDEX; [pt] ESTIMADOR DE HILL; [en] HILL ESTIMATOR; [pt] DISTRIBUICOES GEV; [en] DISTRIBUTIONS GEV

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

CHAVEZ, C. M. G. (2002). [en] VALUE AT RISK A COMPARISON OF METHODS TO CHOOSE THE SAMPLE FRACTION IN TAIL INDEX ESTIMATION OF GENERALIZED EXTREME VALUE DISTRIBUTION. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=2908

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

CHAVEZ, CHRISTIAM MIGUEL GONZALES. “[en] VALUE AT RISK A COMPARISON OF METHODS TO CHOOSE THE SAMPLE FRACTION IN TAIL INDEX ESTIMATION OF GENERALIZED EXTREME VALUE DISTRIBUTION.” 2002. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed February 27, 2021. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=2908.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

CHAVEZ, CHRISTIAM MIGUEL GONZALES. “[en] VALUE AT RISK A COMPARISON OF METHODS TO CHOOSE THE SAMPLE FRACTION IN TAIL INDEX ESTIMATION OF GENERALIZED EXTREME VALUE DISTRIBUTION.” 2002. Web. 27 Feb 2021.

Vancouver:

CHAVEZ CMG. [en] VALUE AT RISK A COMPARISON OF METHODS TO CHOOSE THE SAMPLE FRACTION IN TAIL INDEX ESTIMATION OF GENERALIZED EXTREME VALUE DISTRIBUTION. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2002. [cited 2021 Feb 27]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=2908.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

CHAVEZ CMG. [en] VALUE AT RISK A COMPARISON OF METHODS TO CHOOSE THE SAMPLE FRACTION IN TAIL INDEX ESTIMATION OF GENERALIZED EXTREME VALUE DISTRIBUTION. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2002. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=2908

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

24. Bassene, Aladji. Contribution à la modélisation spatiale des événements extrêmes : Contributions to modeling spatial extremal events and applications.

Degree: Docteur es, Mathématiques appliquées et applications des mathématiques, 2016, Lille 3; Université de Saint-Louis (Sénégal)

URL: http://www.theses.fr/2016LIL30039

► Dans cette de thèse, nous nous intéressons à la modélisation non paramétrique de données extrêmes spatiales. Nos résultats sont basés sur un cadre principal de… (more)

▼ Dans cette de thèse, nous nous intéressons à la modélisation non paramétrique de données extrêmes spatiales. Nos résultats sont basés sur un cadre principal de la théorie des valeurs extrêmes, permettant ainsi d’englober les lois de type Pareto. Ce cadre permet aujourd’hui d’étendre l’étude des événements extrêmes au cas spatial à condition que les propriétés asymptotiques des estimateurs étudiés vérifient les conditions classiques de la Théorie des Valeurs Extrêmes (TVE) en plus des conditions locales sur la structure des données proprement dites. Dans la littérature, il existe un vaste panorama de modèles d’estimation d’événements extrêmes adaptés aux structures des données pour lesquelles on s’intéresse. Néanmoins, dans le cas de données extrêmes spatiales, hormis les modèles max stables,il n’en existe que peu ou presque pas de modèles qui s’intéressent à l’estimation fonctionnelle de l’indice de queue ou de quantiles extrêmes. Par conséquent, nous étendons les travaux existants sur l’estimation de l’indice de queue et des quantiles dans le cadre de données indépendantes ou temporellement dépendantes. La spécificité des méthodes étudiées réside sur le fait que les résultats asymptotiques des estimateurs prennent en compte la structure de dépendance spatiale des données considérées, ce qui est loin d’être trivial. Cette thèse s’inscrit donc dans le contexte de la statistique spatiale des valeurs extrêmes. Elle y apporte trois contributions principales. • Dans la première contribution de cette thèse permettant d’appréhender l’étude de variables réelles spatiales au cadre des valeurs extrêmes, nous proposons une estimation de l’indice de queue d’une distribution à queue lourde. Notre approche repose sur l’estimateur de Hill (1975). Les propriétés asymptotiques de l’estimateur introduit sont établies lorsque le processus spatial est adéquatement approximé par un processus M−dépendant, linéaire causal ou lorsqu'il satisfait une condition de mélange fort (a-mélange). • Dans la pratique, il est souvent utile de lier la variable d’intérêt Y avec une co-variable X. Dans cette situation, l’indice de queue dépend de la valeur observée x de la co-variable X et sera appelé indice de queue conditionnelle. Dans la plupart des applications, l’indice de queue des valeurs extrêmes n’est pas l’intérêt principal et est utilisé pour estimer par exemple des quantiles extrêmes. La contribution de ce chapitre consiste à adapter l’estimateur de l’indice de queue introduit dans la première partie au cadre conditionnel et d’utiliser ce dernier afin de proposer un estimateur des quantiles conditionnels extrêmes. Nous examinons les modèles dits "à plan fixe" ou "fixed design" qui correspondent à la situation où la variable explicative est déterministe et nous utlisons l’approche de la fenêtre mobile ou "window moving approach" pour capter la co-variable. Nous étudions le comportement asymptotique des estimateurs proposés et donnons des résultats numériques basés sur des données simulées avec le logiciel "R". • Dans la troisième partie de… Advisors/Committee Members: Dabo-Niang, Sophie (thesis director), Diop, Aliou (thesis director).

Subjects/Keywords: Statistique spatiale; Données extrêmes; Données M-dépendantes; Processus linéaire causal; Processus a−mélangeant; Estimation non-paramétrique; Estimateur à noyau; Estimation de l'indice de queue; Estimation de quantiles extrêmes; Estimateur de Hill; Consistance; Normalité asymptotique; Spatial statistics; Extreme values; Spatial M−dependent processes; Spatial linear causal processes; A−mixing processes; Nonparametric estimation; Kernel estimator; Heavy tail index estimate; Extreme quantiles estimate; Hill’s estimator; Consistency; Asymptotic normality.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Bassene, A. (2016). Contribution à la modélisation spatiale des événements extrêmes : Contributions to modeling spatial extremal events and applications. (Doctoral Dissertation). Lille 3; Université de Saint-Louis (Sénégal). Retrieved from http://www.theses.fr/2016LIL30039

Chicago Manual of Style (16^th Edition):

Bassene, Aladji. “Contribution à la modélisation spatiale des événements extrêmes : Contributions to modeling spatial extremal events and applications.” 2016. Doctoral Dissertation, Lille 3; Université de Saint-Louis (Sénégal). Accessed February 27, 2021. http://www.theses.fr/2016LIL30039.

MLA Handbook (7^th Edition):

Bassene, Aladji. “Contribution à la modélisation spatiale des événements extrêmes : Contributions to modeling spatial extremal events and applications.” 2016. Web. 27 Feb 2021.

Vancouver:

Bassene A. Contribution à la modélisation spatiale des événements extrêmes : Contributions to modeling spatial extremal events and applications. [Internet] [Doctoral dissertation]. Lille 3; Université de Saint-Louis (Sénégal); 2016. [cited 2021 Feb 27]. Available from: http://www.theses.fr/2016LIL30039.

Council of Science Editors:

Bassene A. Contribution à la modélisation spatiale des événements extrêmes : Contributions to modeling spatial extremal events and applications. [Doctoral Dissertation]. Lille 3; Université de Saint-Louis (Sénégal); 2016. Available from: http://www.theses.fr/2016LIL30039

University of Victoria

25. Chutter, Ashley. Elemental abundance investigation of two candidate extragalactic globular clusters (NGC 5024, NGC 5466).

Degree: Dept. of Physics and Astronomy, 2009, University of Victoria

URL: http://hdl.handle.net/1828/1355

► High resolution spectra have been analyzed for two and three stars respectively in the candidate extragalactic globular clusters, NGC 5024 and NGC 5466, with the… (more)

▼ High resolution spectra have been analyzed for two and three stars respectively in the candidate extragalactic globular clusters, NGC 5024 and NGC 5466, with the High-Resolution Spectrograph on the 9.2 m Hobby-Eberly Telescope. The goal of this investigation is to evaluate the proposed extragalactic origins of these two globular clusters. Evidence of a tidal tail in NGC 5466 (Belokurov et al., 2006) and the association of NGC 5024 with the Sagittarius stream (Martinez-Delgado et al., 2004) targeted the clusters as likely remnants of recent accretion events and thus potentially of extragalactic origin. Determination of their chemical abundance patterns could provide unique evidence to either support or dispute these claims. NGC 5024 has been associated with a proposed wrap in the Sagittarius stream which could be supported if the chemistry of NGC 5024 is similar to other clusters associated with the stream. NGC 5466 has the longest tidal tail known, which hints at an origin in a now dispersed dwarf spheroidal galaxy. Additional evidence for these clusters' capture origins has been compiled by Yoon & Lee (2002), demonstrating that these two low metallicity clusters, along with five others, are aligned in a single highly inclined plane in the outer halo. Confirmation that these clusters are remnants of dwarf galaxies would support a Galactic history which includes recent accretion events. Such evidence may bolster the cold dark matter hierarchical clustering scenario, which postulates the presence of a significant amount of substructure in the Milky Way. Unfortunately, at the metallicity of the target clusters ([Fe/H] = -1.9), the chemical distinction between Galactic stars and known dSph stars is not significant. The low [alpha/Fe] of dSph stars seen at higher metallicity is not apparent at [Fe/H] = -1.9 in either Galactic or dSph stars. Aside from a few mild discrepancies, NGC 5024 and NGC 5466 appear chemically similar to the Galactic field stars and globular clusters compiled by Pritzl et al. (2005). A moderate enhancement in the [Ba/Y] ratios relative to the halo field stars is the only positively detected chemical signature that is typically observed in dSph stars. Comparisons with Galactic GCs of similar age, metallicity and horizontal branch morphology (NGC 2298, NGC 6397 and NGC 5897) reveal a few other differences, but these could be attributed to systematic effects in the different analysis techniques. Although NGC 5024 has a similar metallicity to the GC Arp 2 that was stripped from the merging Sagittarius dwarf, neither Arp 2 (Mottini et al., 2008) nor the clusters in this study show any particularly unusual chemical abundance patterns. Thus, no conclusive evidence in support of or in opposition to the target clusters' proposed extragalactic origins has been discovered. Advisors/Committee Members: Venn, Kim (supervisor).

Subjects/Keywords: globular cluster; elemental abundances; hierarchical clustering; accretion; dwarf galaxy; Milky Way; galaxy; star; stellar atmosphere; spectra; metallicity; extragalactic; NGC 5466; NGC 5024; Sagittarius; tidal tail; UVic Subject Index::Sciences and Engineering::Physics::Astronomy

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Chutter, A. (2009). Elemental abundance investigation of two candidate extragalactic globular clusters (NGC 5024, NGC 5466). (Masters Thesis). University of Victoria. Retrieved from http://hdl.handle.net/1828/1355

Chicago Manual of Style (16^th Edition):

Chutter, Ashley. “Elemental abundance investigation of two candidate extragalactic globular clusters (NGC 5024, NGC 5466).” 2009. Masters Thesis, University of Victoria. Accessed February 27, 2021. http://hdl.handle.net/1828/1355.

MLA Handbook (7^th Edition):

Chutter, Ashley. “Elemental abundance investigation of two candidate extragalactic globular clusters (NGC 5024, NGC 5466).” 2009. Web. 27 Feb 2021.

Vancouver:

Chutter A. Elemental abundance investigation of two candidate extragalactic globular clusters (NGC 5024, NGC 5466). [Internet] [Masters thesis]. University of Victoria; 2009. [cited 2021 Feb 27]. Available from: http://hdl.handle.net/1828/1355.

Council of Science Editors:

Chutter A. Elemental abundance investigation of two candidate extragalactic globular clusters (NGC 5024, NGC 5466). [Masters Thesis]. University of Victoria; 2009. Available from: http://hdl.handle.net/1828/1355

Open Access Theses and Dissertations