UNIDEF 23986
UNIDAD DE INVESTIGACION Y DESARROLLO ESTRATEGICO PARA LA DEFENSA
Unidad Ejecutora - UE
congresos y reuniones científicas
Título:
Threshold selection for extremes under a semiparametric model.
Autor/es:
JUAN D. GONZALEZ, DANIELA RODRIGUEZ, MARIELA SUED; DANIELA RODRIGUEZ, MARIELA SUED
Lugar:
Buenos Aires
Reunión:
Encuentro; 8 ERPEM; 2011
Institución organizadora:
FCEN UBA- Universidad de San Andrés-Universidad Torcuato Di Tella
Resumen:
In this work we propose semiparametric likelihood estimator for the threshold under a semiparametric model that assume that the excedent distribution belong the Generalized Paretto family, above the threshold. The proposal is motivated by an empirical characterization of the threshold under the model and a simulation study is performed to show empirically the properties of the proposal. We also compare our results with those obtained by some of the most common existing methods.
