摘要翻译：
本文研究了广义Pareto分布(GPDs)中的最优鲁棒参数估计问题。在许多情况下，当人们对由Pickands-Balkema-de Haan极值定理(PBHT)激发的极端事件的行为感兴趣时，这些自然产生。我们所考虑的应用程序是计算《巴塞尔二号协议》要求银行支付操作风险的监管资本。在这种情况下，底层发行版的尾部行为至关重要。这是极值理论进入的地方，建议用参数估计这些高分位数，例如GPDS。在这种情况下，稳健统计提供了限制单个观测影响的程序，因此在存在与分布模型假设的适度偏差时，分别从PBHT背后的机制提供了可靠的推断。
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英文标题：
《Robust Estimators in Generalized Pareto Models》
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作者：
Peter Ruckdeschel, Nataliya Horbenko (Fraunhofer ITWM, Department of
  Financial Mathematics, Dept. of Mathematics, Univerisity of Kaiserslautern)
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
  This paper deals with optimally-robust parameter estimation in generalized Pareto distributions (GPDs). These arise naturally in many situations where one is interested in the behavior of extreme events as motivated by the Pickands-Balkema-de Haan extreme value theorem (PBHT). The application we have in mind is calculation of the regulatory capital required by Basel II for a bank to cover operational risk. In this context the tail behavior of the underlying distribution is crucial. This is where extreme value theory enters, suggesting to estimate these high quantiles parameterically using, e.g. GPDs. Robust statistics in this context offers procedures bounding the influence of single observations, so provides reliable inference in the presence of moderate deviations from the distributional model assumptions, respectively from the mechanisms underlying the PBHT.
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PDF链接：
https://arxiv.org/pdf/1005.1476