拉斯维加斯9888

标题: Tail Index Regression: A Regression Model for Extreme Financial Data Analysis

汇报人: Prof.Hansheng Wang(拉斯维加斯9888商务统计与经济计量系)

功夫：2009年3月9日（周一）下午2：00-3：00

地址：拉斯维加斯9888新楼217室

Abstract:

In extreme value statistics, the tail index is an important measure to gauge the heavy-tailed behavior of a distribution.Under Pareto-type distributions, we employ the logarithmic function to link the tail index to the linear predictor induced by covariates, which constitutes the tail index regression model. We then propose an approximate log-likelihood function to obtain regression parameter estimators, and subsequently show the asymptotic normality of those estimators.