Sökning: "Erik Brodin"

Hittade 2 avhandlingar innehållade orden Erik Brodin.

1. 1. Contributions to Quantile Estimation

   Författare :Erik Brodin; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Bootstrap; Cross validation; Extreme value theory; Generalized Pareto distribution; Kernel estimator; L-estimator; Non-parametric estimation; Order statistic; Perturbed Generlized Pareto distribution; Quantile estimation; Regular variation; Second order regular variation; Kernel estimator;

   Sammanfattning : .... LÄS MER

3. 2. Extreme Value Statistics and Quantile Estimation with Applications in Finance and Insurance

   Författare :Erik Brodin; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis presents results in Extreme Value Statistics and quantile estimation. A first part includes a popular scientific introduction to Extreme Value Statistics and a review paper on Extreme Value Theory in finance. Further, we study new non-parametric quantile estimators for non-extreme quantiles. LÄS MER