Testing for Trends in Excesses Over a Threshold Using the Generalized Pareto Distribution
The Generalized Pareto Distribution (GPD) is used for modeling exceedances over thresholds. The general form of the GPD depends on three parameters: the location parameter µ; the scale parameter (β > 0); and the shape parameter (−∞ < ξ < ∞). This work restricts attention to the case where...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2020-05-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/296 |