Threshold selection for extremes under a semiparametric model

DOI10.1007/S10260-013-0234-7MaRDI QIDQ257615zbMATHOpenAlexFDO

Authors Juan Gonzalez, Daniela Rodriguez, Mariela Sued

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-013-0234-7

zbMATH Keywords

semiparametric modelsextreme values theoryFisher consistencythreshold selection

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

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Cites work

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• scientific article; zbMATH DE number 2163706 (Why is no real title available?)
• A diagnostic for selecting the threshold in extreme value analysis
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• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
• “Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database,” Ana C. Cebrián, Michel Denuit, and Philippe Lambert, July 2003

Cited in

(5)

• Bayesian threshold selection for extremal models using measures of surprise
• Reiss and Thomas' automatic selection of the number of extremes
• Adaptive Threshold Estimation via Extreme Value Theory
• Threshold selection in univariate extreme value analysis
• Threshold selection and trimming in extremes

Describes a project that uses

Uses Software

• evir
• ismev

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