Extreme value analysis within a parametric outlier detection framework

S. Cabras and J. Morales

Applied Stochastic Models in Business and Industry, 2007, vol. 23, issue 2, 157-164

Abstract: Threshold selection is a key aspect in extreme values analysis, especially when the sample size is small. The main idea underpinning this work is that extreme observations are assumed to be outliers of a specified parametric model. We propose a threshold selection method based on outlier detection using a suitable measure of surprise. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:23:y:2007:i:2:p:157-164

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