1 citations · 1 across the 2 of their papers we have counts for
4 papers
A different approach for choosing a threshold in peaks over threshold
Andréhette Verster, Lizanne Raubenheimer
Abstract In Extreme Value methodology the choice of threshold plays an important role in efficient modelling of observations exceeding the threshold. The threshold must be chosen h…
Bias Reduced Peaks over Threshold Tail Estimation
Jan Beirlant, Gaonyalelwe Maribe, Philippe Naveau +1
In recent years several attempts have been made to extend tail modelling towards the modal part of the data. Frigessi et al. (2002) introduced dynamic mixtures of two components wi…
Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications
Jan Beirlant, Gaonyalelwe Maribe, Andrehette Verster
The subject of tail estimation for randomly censored data from a heavy tailed distribution receives growing attention, motivated by applications for instance in actuarial statistic…
Reducing MSE in estimation of heavy tails: a Bayesian approach
Gaonyalelwe Maribe, Andréhette Verster, Jan Beirlant
Bias reduction in tail estimation has received considerable interest in extreme value analysis. Estimation methods that minimize the bias while keeping the mean squared error (MSE)…