Modelling extreme values by the residual coefficient of variation

• Joan del Castillo ^[1] ; Maria Padilla ^[1]
  1. [1] Universitat Autònoma de Barcelona

     Universitat Autònoma de Barcelona

     Barcelona, España

     
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 40, Nº. 2, 2016, págs. 303-320
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • 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.

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