Estimating the Tail Index by using Model Averaging
classification
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stat.ME
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averagingcalculatedmodelpossiblerangethresholdthresholdsweights
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The ideas of model averaging are used to find weights in peak-over-threshold problems using a possible range of thresholds. A range of the largest observations are chosen and considered as possible thresholds, each time performing estimation. Weights based on an information criterion for each threshold are calculated. A weighted estimate of the threshold and shape parameter can be calculated.
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