Extreme value analysis within a parametric outlier detection framework

Applied Stochastic Models in Business and Industry

Volumn 23, Issue 2, 2007, Pages 157-164

  Cabras, S ^a   Morale, J ^b  

^a UNIVERSITY OF CAGLIARI   (Italy)

^b MIGUEL HERNÁNDEZ UNIVERSITY   (Spain)

Author keywords

Generalized Pareto distribution; Partial posterior predictive distribution; Threshold selection; Value at risk

Indexed keywords

MATHEMATICAL MODELS; PARETO PRINCIPLE; PREDICTIVE CONTROL SYSTEMS; RISK ASSESSMENT; THRESHOLD ELEMENTS;

GENERALIZED PARETO DISTRIBUTION; PARTIAL POSTERIOR PREDICTIVE DISTRIBUTION; THRESHOLD SELECTION; VALUE AT RISK;

VALUE ENGINEERING;

EID: 34247897008     PISSN: 15241904     EISSN: 15264025     Source Type: Journal    
DOI: 10.1002/asmb.660     Document Type: Article

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