Fixed values versus empirical quantiles as thresholds in excess distribution modelling

DOI10.1016/J.JSPI.2025.106276MaRDI QIDQ7001626zbMATH OpenFDO

Authors Daniel Gaigall, Julian Gerstenberg

Publication date 4 April 2025

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JSPI.2025.106276

zbMATH Keywords

conditional excess distributionempirical quantilegoodness-of-fit testhomogeneity test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Design of statistical experiments (62K99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

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• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
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• Large sample behavior of the CTE and VaR estimators under importance sampling
• On the Distribution of the Two-Sample Cramer-von Mises Criterion
• Residual life time at great age
• Statistical inference using extreme order statistics
• Statistical modeling for biological systems. In memory of Andrei Yakovlev
• Threshold selection for regional peaks-over-threshold data
• Variance of the CTE Estimator

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