尾部指標(biāo)估計(jì)中的閾值選擇.pdf

1、群瑞；7鶴j⑧天畢大薯中國近代第所大學(xué)碩士學(xué)位論文一■■_●■■0■爿j；一—l一■■口■■_學(xué)科專業(yè)：應(yīng)用數(shù)學(xué)作者姓名：張春英指導(dǎo)教師：史道濟(jì)教授IarrⅡ女H一Ⅱ自2005年12月ABSTRACTThetailindexisanimportantparametertodecidethedegreeofheavinessofthetailofadistributionIntheanalysisoffinancialdatathetai

2、lofthedistributionimplytheseriouslossofafinancialinstitutionledbypotentialdisastrouseventsMostofthelossl／profitdistributionsoffinancialasseshaveheavytailsSohowtoestimatethetailindexbetterisveryimportantfortheriskmanagers

3、andsupervisorsoffinancialinstitutionsHillestimatorissignificanttoestimatethetailofaheavydistributionItappealsbyvirtueofitssimplicityandinterestingasymptoticpropertiesHowever，theperformanceoftheHillestimatordependsOilthea

4、daptivechoiceofit8thresholdHOWto8elec乞theoptimalthresholdisadelicatematterThi8paperprovidefourmethodsforestimationoftheoptimalthresholdwhichminimizetheAMSEfasymptoticmmsquarederror)ofthecorrespondingHillestimators：bootst

5、rapmethods，directestimationoftheAMSEoftheHillestimatorsthespecialmethodfortheHallclassandasequeilti8lprocedureThispaperestimatestheoptimalthresholdfortheestimationofthetaftindexofdailyexchangeratereturnsoftheUSdollarrela