Title: Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
Authors: Beirlant, Jan ×
Joossens, Elisabeth
Segers, Johan #
Issue Date: Aug-2009
Publisher: Elsevier
Series Title: Journal of Statistical Planning and Inference vol:139 issue:8 pages:2800-2815
Abstract: Modelling excesses over a high threshold using the Pareto or generalized Pareto distribution (PD/GPD) is the most Popular approach in extreme value statistics. This method typically requires high thresholds in order for the (G)PD to fit well and in such a case applies only to a small upper fraction of the data. The extension of the (G)PD proposed in this paper is able to describe the excess distribution for lower thresholds in case of heavy-tailed distributions. This yields a statistical model that can be fitted to a larger portion of the data. Moreover, estimates of tail parameters display stability for a larger range of thresholds. Our findings are Supported by asymptotic results, simulations and a case study. (C) 2009 Elsevier B.V. All rights reserved.
ISSN: 0378-3758
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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