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Model misspecification in peaks over threshold analysis
Cluster extremal index extreme value theory likelihood
2010/10/19
Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances. Under mild conditions ...
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
bias reduction Hill estimator extended Pareto distribution extremevalue index heavy tails regular variation
2010/3/17
Modelling excesses over a high threshold using the Pareto or generalized Pareto
distribution (PD/GPD) is the most popular approach in extreme value statistics.
This method typically requires high th...