A Discussion on Mean Excess Plots
Probability
2010-06-03 v2 Statistics Theory
Statistics Theory
Abstract
A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects of the use of the mean excess plot.
Cite
@article{arxiv.0907.5236,
title = {A Discussion on Mean Excess Plots},
author = {Souvik Ghosh and Sidney I Resnick},
journal= {arXiv preprint arXiv:0907.5236},
year = {2010}
}
Comments
26 pages, 9 figures