How to Cite
del Castillo, Joan; Padilla, Maria. “Modelling extreme values by the residual coefficient of variation”. SORT-Statistics and Operations Research Transactions, 2016, vol.VOL 40, no. 2, pp. 303-20, https://raco.cat/index.php/SORT/article/view/316240.
Abstract
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 euro/dollar daily exchange rates and to Danish fire insurance losses.
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All content in the journal SORT is published under Creative Commons Attribution-NonCommercial-No Derivatives 4.0 International license (CC BY-NC-ND 4.0), the terms of which are available at https://creativecommons.org/licenses/by-nc-nd/4.0/deed.en