A THRESHOLD APPROACH FOR PEAKS-OVER-THRESHOLD MODELING USING MAXIMUM PRODUCT OF SPACINGS

A THRESHOLD APPROACH FOR PEAKS-OVER-THRESHOLD MODELING USING MAXIMUM PRODUCT OF SPACINGS

We propose a threshold model extending the generalized Pareto distribution for exceedances over a threshold. The threshold is solely determined within the model and is shown to be super-consistent under the maximum product of spacings estimation method. We apply the model to some insurance data and...

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Veröffentlicht in:Statistica Sinica 2010-07, Vol.20 (3), p.1257-1272
Hauptverfasser: Wong, Tony Siu Tung, Li, Wai Keung
Format: Artikel
Sprache:eng
Schlagworte:
Datasets
Distribution functions
Estimation methods
Estimators
Gaussian distributions
Modeling
Parametric models
Sampling distributions
Statistical variance
Value analysis
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Zusammenfassung:We propose a threshold model extending the generalized Pareto distribution for exceedances over a threshold. The threshold is solely determined within the model and is shown to be super-consistent under the maximum product of spacings estimation method. We apply the model to some insurance data and demonstrate the merit of having a full parametric model for the entire data set.
ISSN:1017-0405
1996-8507