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...
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| Autores principales: | , , |
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| Formato: | JOUR |
| Materias: | |
| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_16182510_v22_n4_p481_Gonzalez |
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| Sumario: | 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. |
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