When does the mean excess plot look linear?

DOI10.1080/15326349.2011.614198MaRDI QIDQ3113810zbMATH OpenOpenAlexFDO

Authors 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 valuesgeneralized Paretomean excess plotpeaks over threshold

Mathematics Subject Classification ID

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

Abstract: In risk analysis, the mean excess plot is a commonly used exploratory plotting technique for confirming iid data is consistent with a generalized Pareto assumption for the underlying distribution, since in the presence of such a distribution thresholded data have a mean excess plot that is roughly linear. Does any other class of distributions share this linearity of the plot? Under some extra assumptions, we are able to conclude that only the generalized Pareto family has this property.

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Cited in

(3)

• Weak limits for exploratory plots in the analysis of extremes
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