Modeling extreme values by the residual coefficient of variation

J. Castillo; M. Padilla

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Modeling extreme values by the residual coefficient of variation

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arxiv 1510.00179 v1 pith:HDVJ75GH submitted 2015-10-01 math.ST stat.TH

J. Castillo , M. Padilla This is my paper · ORCID

classification math.STstat.TH

keywords thresholdcoefficientmomentsvariationalgorithmappliedconsiderscontributions

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The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection algorithm. One of the main contributions is to extend the methodology based on moments to all distributions, even without finite moments. These techniques are applied to Danish fire insurance losses.

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