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

TitleA threshold approach for peaks-over-threshold modeling using maximum product of spacings
Authors
KeywordsExceedances
Generalized Pareto distribution
Maximum product of spacings
Super-consistency
Threshold model
Issue Date2010
PublisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/
Citation
Statistica Sinica, 2010, v. 20 n. 3, p. 1257-1272 How to Cite?
AbstractWe 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.
Persistent Identifierhttp://hdl.handle.net/10722/134472
ISSN
2015 Impact Factor: 0.838
2015 SCImago Journal Rankings: 2.292
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorWong, TSTen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2011-06-17T09:21:29Z-
dc.date.available2011-06-17T09:21:29Z-
dc.date.issued2010en_HK
dc.identifier.citationStatistica Sinica, 2010, v. 20 n. 3, p. 1257-1272en_HK
dc.identifier.issn1017-0405en_HK
dc.identifier.urihttp://hdl.handle.net/10722/134472-
dc.description.abstractWe 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.en_HK
dc.languageengen_US
dc.publisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/en_HK
dc.relation.ispartofStatistica Sinicaen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectExceedancesen_HK
dc.subjectGeneralized Pareto distributionen_HK
dc.subjectMaximum product of spacingsen_HK
dc.subjectSuper-consistencyen_HK
dc.subjectThreshold modelen_HK
dc.titleA threshold approach for peaks-over-threshold modeling using maximum product of spacingsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1017-0405&volume=20&issue=3&spage=1257&epage=1272&date=2010&atitle=A+threshold+approach+for+peaks-over-threshold+modeling+using+maximum+product+of+spacings-
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturepublished_or_final_version-
dc.identifier.scopuseid_2-s2.0-78349248261en_HK
dc.identifier.hkuros185811en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-78349248261&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume20en_HK
dc.identifier.issue3en_HK
dc.identifier.spage1257en_HK
dc.identifier.epage1272en_HK
dc.identifier.isiWOS:000280533600025-
dc.publisher.placeTaiwan, Republic of Chinaen_HK
dc.identifier.scopusauthoridWong, TST=36626723000en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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