mean excess function
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scholarly journals Consistency Bands for the Mean Excess Function and Application to Graphical Goodness-of-fit Test for Financial Data

2016 ◽  
Vol 8 (1) ◽  
pp. 42
Author(s):  
Amadou Diadie Ba ◽  
El Hadj Deme ◽  
Cheikh Tidiane Seck ◽  
Gane Samb Lo
Keyword(s):  
Goodness Of Fit ◽  
Empirical Processes ◽  
Financial Data ◽  
Generalized Hyperbolic Distribution ◽  
Goodness Of Fit Test ◽  
Excess Function ◽  
Monthly Data ◽  
Hyperbolic Distribution ◽  
Mean Excess Function ◽  
The Mean

<p>In this paper, we use the modern setting of functional empirical processes and recent techniques on uniform estimation for non parametric objects to derive consistency bands for the mean excess function in the i.i.d. case. We apply our results for modelling Dow Jones data to see how good the Generalized hyperbolic distribution fits monthly data.</p>

A weighted mean excess function approach to the estimation of Weibull-type tails

Test ◽  
2010 ◽  
Vol 20 (1) ◽  
pp. 138-162 ◽  
Author(s):  
Yuri Goegebeur ◽  
Armelle Guillou
Keyword(s):  
Function Approach ◽  
Weighted Mean ◽  
Excess Function ◽  
Mean Excess Function

A new estimation method for Weibull-type tails based on the mean excess function

2009 ◽  
Vol 139 (6) ◽  
pp. 1905-1920 ◽  
Author(s):  
G. Dierckx ◽  
J. Beirlant ◽  
D. De Waal ◽  
A. Guillou
Keyword(s):  
Estimation Method ◽  
Excess Function ◽  
Mean Excess Function ◽  
The Mean
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