A discussion on mean excess plots

Stochastic Processes and their Applications

Volumn 120, Issue 8, 2010, Pages 1492-1517

  Ghosh, Souvik ^a   Resnick, Sidney ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b Cornell University   (United States)

Author keywords

Extreme values; Generalized Pareto; Mean excess plots; Peaks over threshold

Indexed keywords

COMPUTER SIMULATION; STATISTICS;

EXCESS DISTRIBUTIONS; EXTREME VALUE; GENERALIZED PARETO; MEAN EXCESS PLOTS; PARETO MODEL; PEAKS OVER THRESHOLD;

STOCHASTIC SYSTEMS;

EID: 84855780046     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2010.04.002     Document Type: Article

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