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An Alternative Study of the Determination of the Threshold for the Generalized Pareto Distribution

일반화 파레토 분포에서 임계치 결정에 대한 대안적 연구

Yoon, Jeong-Yoen;Cho, Jae-Beom;Jun, Byoung-Cheol
윤정연;조재범;정병철

  • Received : 20101200
  • Accepted : 20110700
  • Published : 2011.10.31

Abstract

In practice, thresholds are determined by the two subjective assessment methods in a generalized pareto distribution of mean extreme function(MEF-graph) or Hill-graph. To remedy the problem of subjectiveness of these methods, we propose an alternative method to determine the threshold based on the robust statistics. We compared the MEF-graph, Hill-graph and our method through VaRs on the Korean stock market data from January 5, 1987 to August 3, 2009. As a result, the VaR based on the proposed method is not much different from the existing methods, and the standard deviation of VaR for our method was the smallest. The results show that our method can be a promising alternative to determine thresholds of the generalized pareto distributions.

Keywords

Generalized pareto distribution;threshold;MEF-graph;Hill-graph;robust estimation;VaR

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