Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework
By Suyeon Kang, Jongwoo Song. 2017
58 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/10f123d2f4cb8904c0aed48d30127cc9b7de7b12
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Thomas Opitz
- Raphaël Huser
- H. Bakka
- Håvard Rue
- Finn Lindgren
- A. C. Davison
- Daniel P. Simpson
- Thomas Kneib
In Finance
- Thomas Opitz
- Raphaël Huser
- Håvard Rue
- H. Bakka
- Emeric Thibaud
- Jennifer L. Wadsworth
- A. C. Davison
- Marc G. Genton
In Statistics and Probability
- Raphaël Huser
- Thomas Opitz
- H. Bakka
- Håvard Rue
- Finn Lindgren
- Ludwig Fahrmeir
- Daniel P. Simpson
- Andreas Brezger
Citations in the corpus
- INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles (2018, background): “…for threshold exceedances based on a limiting point process representation or on the related generalized Pareto (GP) distribution was developed by Hosking and Wallis (1987) and Davison and Smith (1990) among others, and numerous applications of threshold-based approaches to environmental…”