Asymptotic behaviour of regular estimators
The P.O.T. (Peaks-Over-Threshold) approach consists of using the generalized Pareto distribution (GPD) to approximate the distribution of excesses over thresholds. We use the maximum likelihood estimators, or some other ones satisfying regularity conditions, to estimate the parameters of the approx...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2005-06-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/16 |