A method for choosing an optimum threshold if the underlying distribution is Generalised Burr-Gamma

South African Statistical Journal

Volumn 45, Issue 2, 2011, Pages 273-292

  Verster, A ^a   De Waal, D J ^a  

^a UNIVERSITY OF THE FREE STATE   (South Africa)

Author keywords

Extreme value; GBG; GP type; Posterior risk; Tail probabilities; Threshold

Indexed keywords

EID: 80053995818     PISSN: 0038271X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (7)

1. AMORE, P. (2005). Asymptotic and exact series representations for the incomplete Gamma function. Retrieved August 30, 2007, from www.edpsciences.org/ articles/epl/abs/2005/13/epl8802/ep18802 .html/
2. BEIRLANT, J., DE WAAL, D.J., & TEUGELS, J.L. (1999). The generalised Burr-Gamma family of distribution with applications in extreme value analysis. Limit Theorems in Probability and Statistics, 1, 113-132.
3. BEIRLANT, J., GOEGEBEUR, Y., SEGERS, J. & TEUGELS, J. (2004). Statistics of extremes theory and applications, Wiley, England.
4. RICE, J.A. (1995). Mathematical statistics and data-analysis, second edition. Duxbury Press, California.
5. SALAS, S.L., HILLE, E., & ETGEN, G.J. (1999). Calculus one and several variables, eighth edition. John Wiley & Sons inc., USA.
6. PENG, L. (2009). A practical method for analyzing heavy tailed data. The Canadian Journal of Statistics, 37(2), 235-248.
7. VERSTER, A., & De Waal, DJ. (2009). Modelling risk on losses due to water spillage for hydro power generation. Retrieved from http://www.uovs.ac.za/ faculties/documents/04/117/TechnicalReports/Teg394.pdf.