Title: Change point analysis of extreme values
Authors: Dierckx, Goedele ×
Teugels, Jef #
Issue Date: Nov-2010
Publisher: Environmetrics Press
Series Title: Environmetrics vol:21 issue:7-8 pages:661-686
Abstract: In a sample from the distribution of a random variable, it is possible that the tail behavior of the distribution changes at some point in the sample. This tail behavior can be described by absolute or relative excesses of the data over a high threshold, given that the random variable exceeds the threshold. The limit distribution of the absolute excesses is given by a generalized Pareto distribution with an extremal parameter gamma and a scale parameter sigma. When the extreme value index gamma is positive, then the relative excesses can be described in the limit by a Pareto distribution with this index as parameter.
ISSN: 1180-4009
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Statistics Section
Faculty of Economics and Business (FEB) - miscellaneous
Research Centre for Mathematical Economics, Econometrics and Statistics, Campus Brussels (-)
× corresponding author
# (joint) last author

Files in This Item:

There are no files associated with this item.

Request a copy


All items in Lirias are protected by copyright, with all rights reserved.

© Web of science