Articles with "extreme tail" as a keyword



Photo by geraninmo from unsplash

Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework

Sign Up to like & get
recommendations!
Published in 2018 at "Communications in Statistics - Theory and Methods"

DOI: 10.1080/03610926.2018.1549253

Abstract: Abstract Modeling excesses over a high threshold and estimating extreme tail risk are two utmost studies in the extreme value literature. Traditional techniques are limited on handling these two challenges. To better analyze this type… read more here.

Keywords: tail risk; extreme tail; tail; generalized pareto ... See more keywords