A threshold approach for peaks-over-threshold modeling using maximum product of spacings

MaRDI QIDQ3580595zbMATH OpenFDO

Authors Tony Wong, Wai Keung Li

Publication date 13 August 2010

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J20N3/J20N315/J20N315.html

zbMATH Keywords

generalized Pareto distributionthreshold modelexceedancessuper-consistencymaximum product of spacings

Mathematics Subject Classification ID

Point estimation (62F10) Statistics of extreme values; tail inference (62G32)

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Cited in

(13)

• Threshold selection for extremes under a semiparametric model
• Exceedances over high thresholds: a guide to threshold selection
• Diagnostic check for heavy tail in linear time series
• Test for homogeneity in gamma mixture models using likelihood ratio
• ON COMPONENTS OF VARIANCE and MODELLING EXCEEDANCES OVER A THRESHOLD
• Extreme values identification in regression using a peaks-over-threshold approach
• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholds
• A new test for tail index with application to Danish fire loss data
• Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
• A horse race between the block maxima method and the peak-over-threshold approach
• Estimation and inference of threshold regression models with measurement errors
• Modelling extreme claims via composite models and threshold selection methods

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