A discussion on mean excess plots

被引：77
作者：
Ghosh, Souvik [1 ]
Resnick, Sidney [2 ]
机构：
[1] Columbia Univ, Dept Stat, New York, NY 10027 USA
[2] Cornell Univ, Sch Operat Res & Informat Engn, Ithaca, NY 14853 USA
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2010年 / 120卷 / 08期
关键词：
Mean excess plots; Peaks over threshold; Extreme values; Generalized Pareto; INDEX;
D O I：
10.1016/j.spa.2010.04.002
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The mean excess plot is a tool widely used in the study of risk, insurance and extreme values. One use is in validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects of the use of the mean excess plot. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：1492 / 1517
页数：26
相关论文
共 27 条
[1]  
[Anonymous], 1997, APPL MATH NEW YORK
[2]  
[Anonymous], 2005, PRINCETON SERIES FIN
[3]  
[Anonymous], STOCH MODLS
[4]  
[Anonymous], 1999, CONVERGE PROBAB MEAS
[5]  
BENKTANDER G, 1960, 16 INT C ACT BRUSS
[6]  
Bingham NH., 1989, REGULAR VARIATION
[7]  
Coles S., 2001, An Introduction to Statistical Modelling of Extreme Values
[8]   THE ASYMPTOTIC-DISTRIBUTION OF SUMS OF EXTREME VALUES FROM A REGULARLY VARYING DISTRIBUTION [J].
CSORGO, S ;
MASON, DM .
ANNALS OF PROBABILITY, 1986, 14 (03) :974-983
[9]   QQ plots, random sets and data from a heavy tailed distribution [J].
Das, B. ;
Resnick, S. I. .
STOCHASTIC MODELS, 2008, 24 (01) :103-132
[10]  
DAVISON AC, 1990, J ROY STAT SOC B MET, V52, P393
123