Consistency bands for the mean excess function and application to graphical goodness of fit test for financial data
Methodology
2015-10-14 v2 Statistics Theory
Statistics Theory
Abstract
In this paper, we use the modern setting of functional empirical processes and recent techniques on uniform estimation for non parametric objects to derive consistency bands for the mean excess function in the i.i.d. case. We apply our results for modelling financial data, in particular Dow Jones data basis to see how good the Generalized hyperbolic distribution models fit monthly data.
Keywords
Cite
@article{arxiv.1509.06403,
title = {Consistency bands for the mean excess function and application to graphical goodness of fit test for financial data},
author = {Gane Samb Lo and Diadie Ba and Elhadji Deme and Cheikh Seck},
journal= {arXiv preprint arXiv:1509.06403},
year = {2015}
}
Comments
34 pages, 23 figures, Conference: Galaye Dia- Scientific days 28-29-30 july 2015 , Gaston Berger University. Saint louis