Matches in SemOpenAlex for { <https://semopenalex.org/work/W2809968265> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W2809968265 endingPage "1869" @default.
- W2809968265 startingPage "1853" @default.
- W2809968265 abstract "This paper contributes to answering a question that is of crucial importance in risk management and extreme value theory: How to select the threshold above which one assumes that the tail of a distribution follows a generalized Pareto distribution. This question has gained increasing attention, particularly in finance institutions, as the recent regulative norms require the assessment of risk at high quantiles. Recent methods answer this question by multiple uses of the standard goodness-of-fit tests. These tests are based on a particular choice of symmetric weighting of the mean square error between the empirical and the fitted tail distributions. Assuming an asymmetric weighting, which rates high quantiles more than small ones, we propose new goodness-of-fit tests and automated threshold selection procedures. We consider a parameterized family of asymmetric weight functions and calculate the corresponding mean square error as a loss function. Then we explicitly determine the risk function as the expected value of the loss function for finite sample. Finally, the risk function can be used to discuss whether a symmetric or asymmetric weight function should be chosen. With this the goodness-of-fit test which should be used in a new method for determining the threshold value is specified." @default.
- W2809968265 created "2018-07-10" @default.
- W2809968265 creator A5072141423 @default.
- W2809968265 creator A5085173010 @default.
- W2809968265 date "2020-01-23" @default.
- W2809968265 modified "2023-10-18" @default.
- W2809968265 title "The risk function of the goodness-of-fit tests for tail models" @default.
- W2809968265 cites W1965514245 @default.
- W2809968265 cites W1972564458 @default.
- W2809968265 cites W1973429805 @default.
- W2809968265 cites W1981308254 @default.
- W2809968265 cites W2001842875 @default.
- W2809968265 cites W2030775213 @default.
- W2809968265 cites W2050819856 @default.
- W2809968265 cites W2073454394 @default.
- W2809968265 cites W2136794446 @default.
- W2809968265 cites W2136796550 @default.
- W2809968265 cites W2143902124 @default.
- W2809968265 cites W2165714389 @default.
- W2809968265 cites W2310792813 @default.
- W2809968265 cites W2324707440 @default.
- W2809968265 cites W2790880830 @default.
- W2809968265 cites W4234858429 @default.
- W2809968265 cites W4251428492 @default.
- W2809968265 cites W2104520700 @default.
- W2809968265 doi "https://doi.org/10.1007/s00362-020-01159-3" @default.
- W2809968265 hasPublicationYear "2020" @default.
- W2809968265 type Work @default.
- W2809968265 sameAs 2809968265 @default.
- W2809968265 citedByCount "2" @default.
- W2809968265 countsByYear W28099682652022 @default.
- W2809968265 countsByYear W28099682652023 @default.
- W2809968265 crossrefType "journal-article" @default.
- W2809968265 hasAuthorship W2809968265A5072141423 @default.
- W2809968265 hasAuthorship W2809968265A5085173010 @default.
- W2809968265 hasBestOaLocation W28099682652 @default.
- W2809968265 hasConcept C105795698 @default.
- W2809968265 hasConcept C114614502 @default.
- W2809968265 hasConcept C118671147 @default.
- W2809968265 hasConcept C126838900 @default.
- W2809968265 hasConcept C132480984 @default.
- W2809968265 hasConcept C14036430 @default.
- W2809968265 hasConcept C147581598 @default.
- W2809968265 hasConcept C149782125 @default.
- W2809968265 hasConcept C165464430 @default.
- W2809968265 hasConcept C183115368 @default.
- W2809968265 hasConcept C33923547 @default.
- W2809968265 hasConcept C71924100 @default.
- W2809968265 hasConcept C78458016 @default.
- W2809968265 hasConcept C86803240 @default.
- W2809968265 hasConcept C98385598 @default.
- W2809968265 hasConceptScore W2809968265C105795698 @default.
- W2809968265 hasConceptScore W2809968265C114614502 @default.
- W2809968265 hasConceptScore W2809968265C118671147 @default.
- W2809968265 hasConceptScore W2809968265C126838900 @default.
- W2809968265 hasConceptScore W2809968265C132480984 @default.
- W2809968265 hasConceptScore W2809968265C14036430 @default.
- W2809968265 hasConceptScore W2809968265C147581598 @default.
- W2809968265 hasConceptScore W2809968265C149782125 @default.
- W2809968265 hasConceptScore W2809968265C165464430 @default.
- W2809968265 hasConceptScore W2809968265C183115368 @default.
- W2809968265 hasConceptScore W2809968265C33923547 @default.
- W2809968265 hasConceptScore W2809968265C71924100 @default.
- W2809968265 hasConceptScore W2809968265C78458016 @default.
- W2809968265 hasConceptScore W2809968265C86803240 @default.
- W2809968265 hasConceptScore W2809968265C98385598 @default.
- W2809968265 hasIssue "4" @default.
- W2809968265 hasLocation W28099682651 @default.
- W2809968265 hasLocation W28099682652 @default.
- W2809968265 hasOpenAccess W2809968265 @default.
- W2809968265 hasPrimaryLocation W28099682651 @default.
- W2809968265 hasRelatedWork W1980747699 @default.
- W2809968265 hasRelatedWork W2023453120 @default.
- W2809968265 hasRelatedWork W2028643843 @default.
- W2809968265 hasRelatedWork W2320994327 @default.
- W2809968265 hasRelatedWork W2739245009 @default.
- W2809968265 hasRelatedWork W2783051639 @default.
- W2809968265 hasRelatedWork W2809968265 @default.
- W2809968265 hasRelatedWork W3203839570 @default.
- W2809968265 hasRelatedWork W4237940519 @default.
- W2809968265 hasRelatedWork W4256254269 @default.
- W2809968265 hasVolume "62" @default.
- W2809968265 isParatext "false" @default.
- W2809968265 isRetracted "false" @default.
- W2809968265 magId "2809968265" @default.
- W2809968265 workType "article" @default.