Corpus ID: 116486537

Tail Estimation With The Generalised Pareto Distribution Without Threshold Selection

@inproceedings{Frigessi2000TailEW,
  title={Tail Estimation With The Generalised Pareto Distribution Without Threshold Selection},
  author={Arnoldo Frigessi and Ola Haug},
  year={2000}
}
  • Arnoldo Frigessi, Ola Haug
  • Published 2000
  • Mathematics
  • Exceedances over high thresholds are often modelled by fitti ng a Generalised Pareto distribution (GPD) onR+ . A difficulty is the selection of the threshold, above which t he GPD assumption is solid enough. We suggest a new dynamically weighted mixtu re model, where one term of the mixture is the GPD, and the other is a light-tailed density di stribution. The weight function varies onR+ in such a way that for large values the GPD component is predom inant. In this sense, the weight function… CONTINUE READING

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