Nadharia ya Thamani Iliyokithiri (EVT)
Nadharia ya Thamani Iliyokithiri ni mfumo wa takwimu kwa ajili ya kuiga matukio adimu yanayopatikana kwenye mkia wa usambazaji wa uwezekano. Kama ilivyoelezwa na Coles (2001) na kutumika katika tathmini ya hatari na McNeil, Frey & Embrechts (2005), inatoa njia mbili za kawaida: usambazaji wa Thamani Iliyokithiri Iliyojanibishwa (GEV) kwa viwango vya juu vya vizuizi na Usambazaji wa Pareto Uliojanibishwa (GPD), unaotumika katika mbinu ya vilele-juu-kizingiti, kwa kuzidi kizingiti cha juu.
Soma mbinu kamili
Ingia kwa akaunti ya bure ili kusoma sehemu hii.
Method map
The neighbourhood of related methods — select a node to explore.
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Vyanzo
- Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598
- McNeil, A. J., Frey, R., & Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press. ISBN: 978-0691122557
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 1). Extreme Value Theory (GEV, GPD, Peaks-Over-Threshold). ScholarGate. https://scholargate.app/sw/finance/extreme-value-theory
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Mfumo wa ARIMA (Autoregressive Integrated Moving Average)Ekonometriki↔ compare
- Thibitisho la Thamani ya Hatari (Matarajio ya Upungufu)Fedha↔ compare
- Exponential GARCH (EGARCH)Ekonometriki↔ compare
- Nadharia ya Hisa Zinazotambulika na Muundo wa HARFedha↔ compare
- Thamani Hatari (VaR)Fedha↔ compare
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