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A diagnostic for selecting the threshold in extreme value analysis

Hall, Peter; Guillou, Armelle

Description

A new approach is suggested for choosing the threshold when fitting the Hill estimator of a tail exponent to extreme value data. Our method is based on an easily computed diagnostic, which in turn is founded directly on the Hill estimator itself, 'symmetrized' to remove the effect of the tail exponent but designed to emphasize biases in estimates of that exponent. The attractions of the method are its accuracy, its simplicity and the generality with which it applies. This generality implies...[Show more]

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
URI: http://hdl.handle.net/1885/93099
Source: Journal of the Royal Statistical Society Series B

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