蛋同学2023-07-12 22:25:07

Let X be a random variable representing the daily loss of your portfolio. The “peaks over threshold” (POT) approach considers a threshold value, u, of X and the distribution of excess losses over this threshold. Which of the following statements about this application of extreme value theory is correct? B If X is normally distributed, the distribution of excess losses requires the estimation of only one parameter, β, which is a positive scale parameter.这个选项为什么是错的，normally distributed不就代表tail index=0吗？那这么看来就只需要规模参数这一个参数即可