Exceedances over high thresholds: a guide to threshold selection
From MaRDI portal
(Redirected from Publication:1294765)
Recommendations
- Accounting for the threshold uncertainity in extreme value estimation
- Asymptotic behaviour of regular estimators
- Approximation of the distribution of excesses through a generalized probability-weighted moments method
- Fitting the generalized Pareto distribution to data based on transformations of order statistics
- Asymptotic behaviour of the probability-weighted moments and penultimate approximation
- Parameter estimation for three-parameter generalized Pareto distribution by weighted non linear least squares
- A threshold approach for peaks-over-threshold modeling using maximum product of spacings
- Correcting certain estimation methods for the generalized Pareto distribution
- Fitting the Generalized Pareto Distribution to Data
Cited in
(40)- Bayesian threshold selection for extremal models using measures of surprise
- A flexible extreme value mixture model
- A robust prediction error criterion for pareto modelling of upper tails
- Testing for trends in excesses over a threshold using the generalized Pareto distribution
- Correcting certain estimation methods for the generalized Pareto distribution
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- Modelling the financial risk associated with U.S. Movie box office earnings
- Optimally robust estimators in generalized Pareto models
- Generalized fiducial confidence intervals for extremes
- An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
- A modeler's guide to extreme value software
- Estimation of tail-related value-at-risk measures: range-based extreme value approach
- ON COMPONENTS OF VARIANCE and MODELLING EXCEEDANCES OVER A THRESHOLD
- Robust weighted likelihood estimators with an application to bivariate extreme value problems
- A comparative study of the adaptive choice of thresholds in extreme hydrologic events
- Estimating precipitation extremes using the log-histospline
- Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
- Robust and efficient estimation for the generalized Pareto distribution
- Multiple thresholds in extremal parameter estimation
- A method for choosing an optimum threshold if the underlying distribution is generalised Burr-gamma
- Parameter estimation of the generalized Pareto distribution. II
- An application of extreme value theory for measuring financial risk
- Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
- Practical extreme value modelling of hydrological floods and droughts: a case study
- Modeling severity and measuring tail risk of Norwegian fire claims
- A one- and two-dimensional generalized Pareto model for a river flow
- scientific article; zbMATH DE number 7508950 (Why is no real title available?)
- Gradient boosting for extreme quantile regression
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- A hybrid Pareto model for asymmetric fat-tailed data: the univariate case
- The dynamic power law model
- Robust bootstrap forecast densities for GARCH returns and volatilities
- Modeling of claim exceedances over random thresholds for related insurance portfolios
- Improving extreme quantile estimation via a folding procedure
- Bias reduced peaks over threshold tail estimation
- On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
- Optimal threshold determination based on the mean excess plot
- Accounting for the threshold uncertainity in extreme value estimation
- Extreme value analysis within a parametric outlier detection framework
- Threshold selection for regional peaks-over-threshold data
This page was built for publication: Exceedances over high thresholds: a guide to threshold selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1294765)
