A discussion on mean excess plots

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:120

Article

Ghosh, Souvik¹  Resnick, Sidney² 

[1] Columbia Univ, Dept Stat, New York, NY 10027 USA

[2] Cornell Univ, Sch Operat Res & Informat Engn, Ithaca, NY 14853 USA

关键词: Mean excess plots;    Peaks over threshold;    Extreme values;    Generalized Pareto;   

DOI  :  10.1016/j.spa.2010.04.002

来源: Elsevier

【 摘 要 】

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. (C) 2010 Elsevier B.V. All rights reserved.

【 授权许可】

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