IMAS 23417
INSTITUTO DE INVESTIGACIONES MATEMATICAS "LUIS A. SANTALO"
Unidad Ejecutora - UE
artículos
Título:
Threshold selection for extremes under a semiparametric model
Autor/es:
JUAN GONZALEZ; DANIELA RODRIGUEZ; MARIELA SUED
Revista:
STATISTICAL METHODS AND APPLICATIONS
Editorial:
SPRINGER HEIDELBERG
Referencias:
Lugar: HEIDELBERG; Año: 2013 vol. 22 p. 481 - 500
ISSN:
1618-2510
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.
