Improved threshold diagnostic plots for extreme value analyses

Authors

Keywords

Extreme value theory, Generalized Pareto distribution, Score test, Likelihood ratio test, Penultimate approximation, Threshold, 62G32, 62F03, 62F05, 62P12, 62P35

Journal

Extremes

Volume 17, Issue 2, Pages 289-303

Publisher

Springer Nature

Online

2014-03-06

DOI

10.1007/s10687-014-0183-z

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