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Threshold selection and trimming in extremes
We consider removing lower order statistics from the classical Hill estimator in extreme value statistics, and compensating for it by rescaling the remaining terms. Trajectories of these trimmed statistics as a function of the extent of trimming turn out to be quite flat near the optimal threshold v...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7590947/ https://www.ncbi.nlm.nih.gov/pubmed/33132744 http://dx.doi.org/10.1007/s10687-020-00385-0 |