Revistes Publicacions URV: SORT - Statistics and Operations Research Transactions> 2016

Modelling extreme values by the residual coefficient of variation

  • Identification data

    Identifier: RP:2452
    Handle: https://hdl.handle.net/20.500.11797/RP2452
    Authors:
    Padilla, Mariadel Castillo, Joan
    Abstract:
    The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection algorithm. One of the main contributions is to extend the methodology based on moments to all distributions, even without finite moments. These techniques are applied to euro/dollar daily exchange rates and to Danish fire insurance losses.

  • Others:

    URV's Author/s: Padilla, Maria del Castillo, Joan
    Keywords: Statistics of extremes, heavy tails, high quantile estimation, value at risk
    Abstract: The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection algorithm. One of the main contributions is to extend the methodology based on moments to all distributions, even without finite moments. These techniques are applied to euro/dollar daily exchange rates and to Danish fire insurance losses.
    Journal publication year: 2016
    Publication Type: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article

  • Keywords:

    Statistics of extremes, heavy tails, high quantile estimation, value at risk

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