Factorized Tail Volatility Model: Augmenting Excess-over-Threshold Method for High-Dimensional Hevay-Tailed Data
因子化尾部波动模型:扩展高维厚尾数据的超阈值方法
Ecess-over-Threshold method is a crucial technique in extreme value analysis, which approximately models larger observations over a threshold using a Generalized Pareto Distribution. This paper presents a comprehensive framework for analyzing tail risk in high-dimensional data by introducing the Factorized Tail Volatility Model (FTVM) and integrating it with central quantile models through the EoT method. This integrated framework is termed the FTVM-EoT method. In this…