Generalized Pareto Models


This chapter deals once again with the central topic of this book, namely with exceedances (in other words, peak-over-threshold values) over high thresholds and upper order statistics. One may argue that this chapter is richer and more exciting than the preceding one concerning maxima. The role of extreme value (EV) dfs is played by generalized Pareto (GP) dfs.


Shape Parameter Tail Index Excess Function Hill Estimator Generalize Pareto 
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