Threshold selection in univariate extreme value analysis

DOI10.1007/S10687-021-00405-7zbMath1482.62054arXiv1903.02517OpenAlexW3153806905MaRDI QIDQ826008

Andrea Krajina, Tatyana Krivobokova, Laura Fee Schneider

Publication date: 18 December 2021

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.02517

zbMATH Keywords

power lawsHill estimatorbias estimationtuning parameter selectionpeaks-over-threshold approach

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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