Body and tail : an automated tail-detecting procedure
Year of publication: |
2020
|
---|---|
Authors: | Hoffmann, Ingo ; Börner, Christoph J. |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 23.2020/2021, 2, p. 43-69
|
Subject: | Anderson-Darling statistic | extreme value theory | generalized Pareto distribution | quantile distribution | threshold selection | risk management | Risikomanagement | Risk management | Theorie | Theory | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Risikomaß | Risk measure |
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