Abstract
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. Copyright © 2010 Institute of Statistical Science, Academia Sinica.
| Original language | English |
|---|---|
| Pages (from-to) | 1257-1272 |
| Journal | Statistica Sinica |
| Volume | 20 |
| Issue number | 3 |
| Publication status | Published - Jul 2010 |
Citation
Wong, T. S. T., & Li, W. K. (2010). A threshold approach for peaks-over-threshold modeling using maximum product of spacings. Statistica Sinica, 20(3), 1257-1272.Keywords
- Exceedances
- Generalized Pareto distribution
- Maximum product of spacings
- Super-consistency
- Threshold model