Back To Index Previous Article Next Article Full Text


Statistica Sinica 20 (2010), 1257-1272





A THRESHOLD APPROACH FOR

PEAKS-OVER-THRESHOLD MODELING USING

MAXIMUM PRODUCT OF SPACINGS


Tony Siu Tung Wong and Wai Keung Li


The University of Hong Kong


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.



Key words and phrases: Exceedances, generalized Pareto distribution, maximum product of spacings, super-consistency, threshold model.

Back To Index Previous Article Next Article Full Text