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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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

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