This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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517
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Type:
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Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #306904 |
Title:
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Extreme-Value Distributions as g-and-h Distributions: An Empirical View
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Author(s):
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David Hoaglin*+
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Companies:
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Abt Bio-Pharma Solutions, Inc.
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Address:
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181 Spring Street, Lexington, MA, 02421-8030,
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Keywords:
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quantiles ;
skewness ;
elongation ;
Gumbel distribution ;
Frechet distribution ;
generalized Pareto distribution
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Abstract:
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The g-and-h distributions, introduced by John Tukey, have shown substantial promise for analyzing and modeling operational risk in banking. Theoretical analyses have examined their relation to extreme-value theory. The present study pursues a different approach, by investigating the approximation of selected extreme-value distributions by g-and-h distributions.
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Authors who are presenting talks have a * after their name.
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