Year: 2021
Type: preprint
Abstract: This paper deals with the extreme value analysis for the triangular arrays, which appear when some parameters of the mixture model vary as the number of observations grow. When the mixing parameter is small, it is natural to associate one of the components with "an impurity" (in case of regularly varying distribution, "heavy-tailed impurity"), which "pollutes" another component. We show that the set of possible limit distributions is much more diverse than in the classical Fisher-Tippett-Gnedenko theorem, and provide the numerical examples showing the efficiency of the proposed model for studying the maximal values of the stock returns.
Source: arXiv (Cornell University)
Authors: Panov, Vladimir, Morozova, Ekaterina
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
Funder: Russian Science Foundation
Awards: G2134614296, G6956962096
OpenAlex ID: W3136096612