Threshold selection for extremes under a semiparametric model

In this work we propose a semiparametric likelihood procedure for the threshold selection for extreme values. This is achieved under a semiparametric model, which assumes there is a threshold above which the excess distribution belongs to the generalized Pareto family. The motivation of our proposal...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autores principales: Gonzalez, J., Rodriguez, D., Sued, M.
Formato: JOUR
Materias:
Extreme values theory
Fisher consistency
Semiparametric models
Threshold selection
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_16182510_v22_n4_p481_Gonzalez
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_16182510_v22_n4_p481_Gonzalez
record_format dspace
spelling todo:paper_16182510_v22_n4_p481_Gonzalez2023-10-03T16:28:29Z Threshold selection for extremes under a semiparametric model Gonzalez, J. Rodriguez, D. Sued, M. Extreme values theory Fisher consistency Semiparametric models Threshold selection In this work we propose a semiparametric likelihood procedure for the threshold selection for extreme values. This is achieved under a semiparametric model, which assumes there is a threshold above which the excess distribution belongs to the generalized Pareto family. The motivation of our proposal lays on a particular characterization of the threshold under the aforementioned model. A simulation study is performed to show empirically the properties of the proposal and we also compare it with other estimators. © 2013 Springer-Verlag Berlin Heidelberg. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_16182510_v22_n4_p481_Gonzalez
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Extreme values theory
Fisher consistency
Semiparametric models
Threshold selection
spellingShingle Extreme values theory
Fisher consistency
Semiparametric models
Threshold selection
Gonzalez, J.
Rodriguez, D.
Sued, M.
Threshold selection for extremes under a semiparametric model
topic_facet Extreme values theory
Fisher consistency
Semiparametric models
Threshold selection
description In this work we propose a semiparametric likelihood procedure for the threshold selection for extreme values. This is achieved under a semiparametric model, which assumes there is a threshold above which the excess distribution belongs to the generalized Pareto family. The motivation of our proposal lays on a particular characterization of the threshold under the aforementioned model. A simulation study is performed to show empirically the properties of the proposal and we also compare it with other estimators. © 2013 Springer-Verlag Berlin Heidelberg.
format JOUR
author Gonzalez, J.
Rodriguez, D.
Sued, M.
author_facet Gonzalez, J.
Rodriguez, D.
Sued, M.
author_sort Gonzalez, J.
title Threshold selection for extremes under a semiparametric model
title_short Threshold selection for extremes under a semiparametric model
title_full Threshold selection for extremes under a semiparametric model
title_fullStr Threshold selection for extremes under a semiparametric model
title_full_unstemmed Threshold selection for extremes under a semiparametric model
title_sort threshold selection for extremes under a semiparametric model
url http://hdl.handle.net/20.500.12110/paper_16182510_v22_n4_p481_Gonzalez
work_keys_str_mv AT gonzalezj thresholdselectionforextremesunderasemiparametricmodel
AT rodriguezd thresholdselectionforextremesunderasemiparametricmodel
AT suedm thresholdselectionforextremesunderasemiparametricmodel
_version_ 1807316795101544448

Ejemplares similares