When does the mean excess plot look linearReport as inadecuate



 When does the mean excess plot look linear


When does the mean excess plot look linear - Download this document for free, or read online. Document in PDF available to download.

Download or read this book online for free in PDF: When does the mean excess plot look linear
In risk analysis, the mean excess plot is a commonly used exploratory plotting technique for confirming iid data is consistent with a generalized Pareto assumption for the underlying distribution, since in the presence of such a distribution thresholded data have a mean excess plot that is roughly linear. Does any other class of distributions share this linearity of the plot? Under some extra assumptions, we are able to conclude that only the generalized Pareto family has this property.



Author: Souvik Ghosh; Sidney I. Resnick

Source: https://archive.org/







Related documents