| 极值分布参数的Dehaan矩估计 |
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| 引用本文： | 李晓康.极值分布参数的Dehaan矩估计[J].陕西理工学院学报(自然科学版),2011,27(3):44-50. |
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| 作者姓名： | 李晓康 |
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| 作者单位： | 陕西理工学院数学系,陕西汉中,723001 |
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| 基金项目： | 陕西理工学院科研基金资助项目(SLG0919) |
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| 摘 要： | 极值理论是研究极端现象及极端事件的有力工具之一。对极值分布的参数,给出了Dehaan矩估计。并对基金净值样本数据建立了极大(小)值模型,对其参数给出了Dehaan矩估计,预测结果与实际相符。
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| 关 键 词： | 极值分布 参数 Dehaan矩估计 基金 |
Parameter estimation of extreme value distribution based on Dehaan moment |
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| LI Xiao-kang.Parameter estimation of extreme value distribution based on Dehaan moment[J].Journal of Shananxi University of Technology:Natural Science Edition,2011,27(3):44-50. |
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| Authors: | LI Xiao-kang |
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| Institution: | LI Xiao-kang (Department of Mathematical Sciences,Shaanxi University of Technology,Hanzhong 723001,China) |
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| Abstract: | Extreme value theory(EVT) is one of powerful tools in researching extreme phenomenon and events.To Parameter of extreme value distribution,Dehaan moment estimation was given,and the model of maximum(minimum) value was established acording to datas of net asset value,its parameter estimation in Dehaan moment was presented,and forecast results were in accordance with the practice. |
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| Keywords: | extreme value distribution parameter Dehaan moment net asset value |
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