Optimal threshold determination based on the mean excess plot

DOI10.1080/03610926.2019.1624772MaRDI QIDQ5078078zbMATH OpenOpenAlexFDO

Authors Queensley C. Chukwudum, Joseph Mung'atu, Peter N. Mwita

Publication date 20 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1624772

zbMATH Keywords

bootstrap aggregationgeneralized Pareto distributionmean excess plotorder statisticspeaks-over-threshold modelquantile modeling

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A diagnostic for selecting the threshold in extreme value analysis
• A discussion on mean excess plots
• A dynamical mixture model for unsupervised tail estimation without threshold selection
• A predictive approach to tail probability estimation
• A review of extreme value threshold estimation and uncertainty quantification
• Accounting for the threshold uncertainity in extreme value estimation
• An introduction to statistical modeling of extreme values
• Bagging predictors
• Exceedances over high thresholds: a guide to threshold selection
• Extreme Value Modeling and Risk Analysis
• Financial data and the skewed generalized t distribution
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Large sample confidence regions based on subsamples under minimal assumptions
• On the asymptotic properties of the jackknife histogram
• Statistical inference using extreme order statistics
• The skew generalized t (SGT) distribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation

Cited in

(1)

• Detecting tail behavior: mean excess plots with confidence bounds

Describes a project that uses

Uses Software

• ismev
• QRM
• tea

This page was built for publication: Optimal threshold determination based on the mean excess plot

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5078078)