A discussion on mean excess plots
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.
Year of publication: |
2010
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Authors: | Ghosh, Souvik ; Resnick, Sidney |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 8, p. 1492-1517
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Publisher: |
Elsevier |
Keywords: | Mean excess plots Peaks over threshold Extreme values Generalized Pareto |
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