Exploiting Structure of Maximum Likelihood Estimators for Extreme Value Threshold Selection
نویسندگان
چکیده
منابع مشابه
Exploiting Structure of Maximum Likelihood Estimators for Extreme Value Threshold Selection
Abstract In order to model the tail of a distribution, one has to define the threshold above or below which an extreme value model produces a suitable fit. Parameter stability plots, whereby one plots maximum likelihood estimates of supposedly threshold-independent parameters against threshold, form one of the main tools for threshold selection by practitioners, principally due to their simplic...
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Received November 2002; revised June 2003. Supported by Netherlands Organization for Scientific Research through the Netherlands Mathematical Research Foundation and by the Heisenberg program of the DFG. Supported in part by POCTI/FCT/FEDER. AMS 2000 subject classifications. Primary 62G32; secondary 62G20.
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ژورنال
عنوان ژورنال: Technometrics
سال: 2016
ISSN: 0040-1706,1537-2723
DOI: 10.1080/00401706.2014.998345