Title of article
A discussion on mean excess plots
Author/Authors
Ghosh، نويسنده , , Souvik and Resnick، نويسنده , , Sidney، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
26
From page
1492
To page
1517
Abstract
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.
Keywords
Peaks over threshold , Extreme values , Generalized Pareto , Mean excess plots
Journal title
Stochastic Processes and their Applications
Serial Year
2010
Journal title
Stochastic Processes and their Applications
Record number
1578301
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