Now showing items 1-7 of 7
The saddle-point method and its application to the hill estimator
(Stellenbosch : Stellenbosch University, 2016-12)
ENGLISH SUMMARY : The saddle-point approximation is a highly accurate approximation of the distribution of a random variable. It was originally derived as an approximation in situations where a parameter takes on large ...
Quantification of estimation instability and its application to threshold selection in extremes
(South African Statistical Association, 2015-03)
'n Ondersoek na die eindige steekproefgedrag van inferensiemetodes in ekstreemwaarde-teorie
(Stellenbosch : University of Stellenbosch, 2005-03)
Extremes are unusual or rare events. However, when such events – for example earthquakes, tidal waves and market crashes - do take place, they typically cause enormous losses, both in terms of human lives and monetary ...
Statistical inference for inequality measures based on semi-parametric estimators
(Stellenbosch : Stellenbosch University, 2011-12)
ENGLISH ABSTRACT: Measures of inequality, also used as measures of concentration or diversity, are very popular in economics and especially in measuring the inequality in income or wealth within a population and ...
Extreme value-based novelty detection
(Stellenbosch : Stellenbosch University, 2017-12)
ENGLISH SUMMARY : This dissertation investigates extreme value-based novelty detection. An in-depth review of the theoretical proofs and an analytical investigation of current novelty detection methods are given. It is ...
An application of copulas to improve PCA biplots for multivariate extremes
(Stellenbosch : Stellenbosch University, 2018-12)
ENGLISH SUMMARY : Principal Component Analysis (PCA) biplots is a valuable means of visualising high dimensional data. The application of PCA biplots over a wide variety of research areas containing multivariate data is ...
Value at risk and extreme value theory : application to the Johannesburg Securities Exchange
(Bureau for Economic Research, 2018)
Value at Risk (VaR) has been established as one of the most important and commonly used financial risk management tools. Nevertheless, the attractive features and wide-spread use of VaR could not help to avoid a number of ...