Artículo

Threshold selection for extremes under a semiparametric model

Gonzalez, Juan DomingoIcon ; Rodriguez, Daniela AndreaIcon ; Sued, Raquel MarielaIcon
Fecha de publicación: 07/2013
Editorial: Springer Heidelberg
Revista: Statistical Methods And Applications
ISSN: 1618-2510
Idioma: Inglés
Tipo de recurso: Artículo publicado
Clasificación temática:

Resumen

In this work we propose a semiparametric likelihood procedure for the threshold selection for extreme values.This is achieved under a semiparametric model,which assumes there is a threshold above which the excess distribution belongs to the generalized Pareto family. The motivation of our proposal lays on a particular characterization of the threshold under the aforementioned model. A simulation study is performed to show empirically the properties of the proposal and we also compare it with other estimators.
Palabras clave: Extreme Values Theory , Fisher Consistency , Semiparametric Models , Threshold Selection
 
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info:eu-repo/semantics/restrictedAccess Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción: Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)
Identificadores
URI: http://hdl.handle.net/11336/14845
URL: http://link.springer.com/article/10.1007%2Fs10260-013-0234-7
DOI: http://dx.doi.org/10.1007/s10260-013-0234-7
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Citación
Gonzalez, Juan Domingo; Rodriguez, Daniela Andrea; Sued, Raquel Mariela; Threshold selection for extremes under a semiparametric model; Springer Heidelberg; Statistical Methods And Applications; 22; 4; 7-2013; 481-500
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