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
Publicado: 2013
Materias:
Extreme values theory
Fisher consistency
Semiparametric models
Threshold selection
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_16182510_v22_n4_p481_Gonzalez
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 paper:paper_16182510_v22_n4_p481_Gonzalez
record_format dspace
spelling paper:paper_16182510_v22_n4_p481_Gonzalez2023-06-08T16:25:33Z Threshold selection for extremes under a semiparametric model 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. 2013 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_16182510_v22_n4_p481_Gonzalez 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
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.
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
publishDate 2013
url https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_16182510_v22_n4_p481_Gonzalez
http://hdl.handle.net/20.500.12110/paper_16182510_v22_n4_p481_Gonzalez
_version_ 1768546463188516864

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