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
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
Journal title :
Stochastic Processes and their Applications
