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基于广义帕累托分布的风险分析AI 解读

We compute the value-at-risk of financial losses by fitting a generalized Pareto distribution to exceedances over a threshold. Following the common practice of setting the threshold as high sample quantiles, we show that, for both independent observations and time-series data, the asymptotic variance for the maximum likelihood estimation depends on the choice of threshold, unlike the existing study of using a divergent threshold. We also propose a random weighted bootstrap…

异方差回归模型条件方差的经验似然置信区间AI 解读

Fan and Yao (1998) proposed an efficient method to estimate the conditional variance of heteroskedastic regression models. Chen, Cheng, and Peng (2009) applied variance reduction techniques to the estimator of Fan and Yao (1998) and proposed a new estimator for conditional variance to account for the skewness of financial data. In this paper, we apply empirical likelihood methods to construct confidence intervals for the conditional variance based on the estimator of Fan and…

层级图模型AI 解读

There is continued debate regarding the exact relation between lower cholesterol levels and increased respiratory disease mortality. One of the goals of this study is to reveal the relationship between subcomponents of cholesterol and pulmonary function. We consider the subcomponents of total cholesterol, namely high-density lipoprotein cholesterol and low-density lipoprotein cholesterol, to investigate the relationship of cholesterol levels with pulmonary function in a…