A flexible extreme value mixture model

@article{MacDonald2011AFE,
  title={A flexible extreme value mixture model},
  author={A. MacDonald and Carl John Scarrott and D. Lee and B. Darlow and Marco Reale and G. Russell},
  journal={Comput. Stat. Data Anal.},
  year={2011},
  volume={55},
  pages={2137-2157}
}
  • A. MacDonald, Carl John Scarrott, +3 authors G. Russell
  • Published in Comput. Stat. Data Anal. 2011
  • Computer Science, Mathematics
  • Extreme value theory is used to derive asymptotically motivated models for unusual or rare events, e.g. the upper or lower tails of a distribution. A new flexible extreme value mixture model is proposed combining a non-parametric kernel density estimator for the bulk of the distribution with an appropriate tail model. The complex uncertainties associated with threshold choice are accounted for and new insights into the impact of threshold choice on density and quantile estimates are obtained… CONTINUE READING

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