Weibull分布VaR的区间估计
首发时间:2017-01-31
摘要:Weibull分布是风险测度中常用的分布。本文针对Weibull分布,利用Fiducial方法构造了的广义置信区间,并将其与参数Bootstrap法构造的置信区间对比。模拟比较表明广义置信区间估计要优于参数Bootstrap法。
关键词: Weibull分布 VaR 区间估计 Bootstrap
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The Interval Estimation for VaR of Weibull Distribution
Abstract:Weibull distribution is widely applied in the risk measure. In this paper, the generalized confidence intervals and parametric bootstrap interval for VaR are proposed. Then, we conduct simulation studies to compare two methods.. Simulation results show that the generalized confidence is better than the parametric bootstrape intervaly
Keywords: Weibull distribution VaR interval estimation Bootstrap
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No.4717834118104114****
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