Threshold selection for extremes under a semiparametric model.

GONZALEZ, J.; RODRIGUEZ, D. ; SUED, M

Solis

Congreso; ERPEM; 2013

In this talk we present a semiparametric likelihood procedure for the threshold selection for extreme values. This is realized under a semiparametric model,  which assumes that 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.