Gonzalez, Juan; Rodriguez, Daniela; Sued, Mariela - In: Statistical Methods and Applications 22 (2013) 4, pp. 481-500
In this work we propose a semiparametric likelihood procedure for the threshold selection for extreme values. This is achieved under a semiparametric model, which assumes there is a threshold above which the excess distribution belongs to the generalized Pareto family. The motivation of our...