On a Minimum Distance Procedure for Threshold Selection in Tail Analysis
DOI10.1137/19M1260463zbMath1484.62057arXiv1811.06433OpenAlexW3103238892MaRDI QIDQ5027018
Anja Janssen, Tiandong Wang, Holger Drees, Sidney I. Resnick
Publication date: 3 February 2022
Published in: SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.06433
Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Random graphs (graph-theoretic aspects) (05C80) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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