摘要
利用变点统计理论对极值理论中阈值选择的传统Hill估计方法进行了改进,实现了阈值的定量精确选取,从而减少了因主观判断所引起的阈值选取偏差.将此方法应用到基于极值理论的商业银行操作风险度量中,取得了较好的效果.
A modified method using change point theory to improve the traditional Hill estimator method in threshold selection was proposed. The proposed can realize quantative threshold selection, reducing errors of threshold selection by subjective judgment. A case study on the evaluation of the operational risk for commercial banks was described by means of extreme value theory and a good result was obtained.
基金
中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02)
中国科学技术大学研究生创新基金(KD2006062)资助
关键词
Hill估计
变点
阈值
Hill estimator
change point
threshold
