Threshold selection for extremes under a semiparametric model

Juan Gonzalez, Daniela Rodriguez and Mariela Sued ()

Statistical Methods & Applications, 2013, vol. 22, issue 4, 500 pages

Abstract: 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. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Extreme values theory; Fisher consistency; Semiparametric models; Threshold selection (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10260-013-0234-7

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