Optimal threshold determination based on the mean excess plot

DOI10.1080/03610926.2019.1624772OpenAlexW2948080407MaRDI QIDQ5078078

Joseph Mung'atu, Queensley C. Chukwudum, Peter N. Mwita

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1624772

zbMATH Keywords

order statisticsgeneralized Pareto distributionbootstrap aggregationpeaks-over-threshold modelquantile modelingmean excess plot

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• ismev
• QRM
• tea

Cites Work

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• Bagging predictors
• On the asymptotic properties of the jackknife histogram
• A discussion on mean excess plots
• Statistical inference using extreme order statistics
• Exceedances over high thresholds: a guide to threshold selection
• A predictive approach to tail probability estimation
• A dynamical mixture model for unsupervised tail estimation without threshold selection
• Large sample confidence regions based on subsamples under minimal assumptions
• Accounting for the threshold uncertainity in extreme value estimation
• A Diagnostic for Selecting the Threshold in Extreme Value Analysis
• Financial Data and the Skewed Generalized T Distribution
• Extreme Value Modeling and Risk Analysis
• The skew generalizedtdistribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation
• An introduction to statistical modeling of extreme values

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