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Let X(t) t 0 ,X(0) = 0, be a L´evy process with spectral L´evy measure . Assuming that ((−1, 0)) < 1 and the right tail of is light, we show that in the presence of Brownian co...
Statistics of extremes by oracle estimation
Nonparametric adaptive estimation extreme values Hill estimator probabilities of rare events high quantiles
2010/4/30
We use the fitted Pareto law to construct an accompanying approximation
of the excess distribution function. A selection rule of
the location of the excess distribution function is proposed based on...