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)

zbMATH Keywords

goodness-of-fit testhomogeneity testconditional excess distributionempirical quantile

Mathematics Subject Classification ID

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

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