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On tail trend detection: modeling relative risk
extreme value distribution regular variation extreme rainfall
2011/7/6
A simple and natural model is introduced for studying a trend in the tail of a probability distribution over time (or over space).
Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates o...
We show how to control the generalization error of time series models wherein past values of the outcome are used to predict future values.