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ON THE EXCESS DISTRIBUTION OF SUMS OF RANDOM VARIABLES IN BIVARIATEEV MODELS
univariate extreme value distribution multivariate extreme value distribution sums of random variables excess distribution Pickands dependence function linear portfolio risk measure expected shortfall
2009/2/25
We investigate the limit of the excess distribution of aU+ bV in case of an EVD with arbitrary margins and with arbitrary scale parameters a, b > 0. It turns out that the limiting excess df may have a...