Browsing School of Pure and Applied Sciences by Author "Mung’atu, Joseph K."

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    • Optimal threshold determination based on the meanexcess plot 

      Chukwudum, Queensley C.; Mwita, Peter; Mung’atu, Joseph K. (Taylor and Francis Group, 2019)
      Choosing a suitable threshold has been an issue in practice. Based on the mean excess plot (MEP), the eyeball inspection approach(EIA) is mainly used to determine the threshold. This involves fitting the threshold at the ...

    • A Three-Step Nonparametric Estimation of Conditional Value-At-Risk Admitting a Location-Scale Model 

      Torsen, Emmanuel; Mwita, Peter N.; Mung’atu, Joseph K. (Journal of Statistical and Econometric Methods, 2019)
      Financial institutions owners and regulators are concerned majorly about risk analysis, Value-at-Risk (VaR) is one of the most popular and common measures of risk used in finance, measures the down-side risk and is ...