When Does the Mean Excess Plot Look Linear?

DOI10.1080/15326349.2011.614198zbMath1230.62011arXiv1011.6447OpenAlexW2017213413MaRDI QIDQ3113810

Souvik Ghosh, Sidney I. Resnick

Publication date: 25 January 2012

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.6447

zbMATH Keywords

extreme valuespeaks over thresholdgeneralized Paretomean excess plot

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10) Survival analysis and censored data (62N99)

Related Items (1)

Diagnostic plots for identifying max domains of attraction under power normalization

Cites Work

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• A discussion on mean excess plots
• Laws of large numbers for sums of extreme values
• Weak limits for exploratory plots in the analysis of extremes
• Limiting Behaviour of Sums and the Term of Maximum Modulus
• The rate of convergence in law of the maximum of an exponential sample
• QQ Plots, Random Sets and Data from a Heavy Tailed Distribution
• Theory of Random Sets
• Heavy-Tail Phenomena

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