This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 517
Type: Contributed
Date/Time: Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #306904
Title: Extreme-Value Distributions as g-and-h Distributions: An Empirical View
Author(s): David Hoaglin*+
Companies: Abt Bio-Pharma Solutions, Inc.
Address: 181 Spring Street, Lexington, MA, 02421-8030,
Keywords: quantiles ; skewness ; elongation ; Gumbel distribution ; Frechet distribution ; generalized Pareto distribution

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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