Threshold detection for the generalized Pareto distribution: Review of representative methods and application to the NOAA NCDC daily rainfall database

By Andreas Langousis, Antonios Mamalakis, Michelangelo Puliga, R. Deidda. 2016

115 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/419d51812a4887f555fa14e1098e711a263ba4be

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In Finance

1. Xuebin Zhang
2. Jun Yan
3. Brian Bader
4. Ivan Kojadinovic
5. G. Salvadori
6. Carlo De Michele
7. Eike C. Brechmann
8. F. Serinaldi

In Global and Planetary Change

1. Xuebin Zhang
2. Jun Yan
3. Brian Bader
4. F. Serinaldi
5. Ivan Kojadinovic
6. Carlo De Michele
7. G. Salvadori

Citations in the corpus

• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate (2018, methodology): “The second, an automated procedure based on the MRL plot using weighted least squares (WLS) and detailed in Langousis et al. (2016), Section 2.2, chooses the threshold that minimizes the mean sqared error (MSE) of the WLS fit.”