A threshold approach for peaks-over-threshold modeling using maximum product of spacings

Tony Siu Tung WONG, Wai Keung LI

Research output: Contribution to journalArticles

14 Citations (Scopus)

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 languageEnglish
Pages (from-to)1257-1272
JournalStatistica Sinica
Volume20
Issue number3
Publication statusPublished - 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

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