论文标题
选择阈值超过阈值的不同方法
A different approach for choosing a threshold in peaks over threshold
论文作者
论文摘要
极端价值方法论中的摘要阈值的选择在有效的观测值建模超过阈值中起着重要作用。必须将阈值足够高，以确保公正的极值指数，但选择阈值在不受控制的方差中的阈值太高。本文研究了一个广义模型，该模型可以帮助选择γ阳性域中最佳阈值。通过得出未知广义参数的后验分布来考虑贝叶斯方法。使用后验分布的属性，可以选择一种无视检查的最佳阈值。
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 high enough to ensure an unbiased extreme value index but choosing the threshold too high results in uncontrolled variances. This paper investigates a generalized model that can assist in the choice of optimal threshold values in the γpositive domain. A Bayesian approach is considered by deriving a posterior distribution for the unknown generalized parameter. Using the properties of the posterior distribution allows for a method to choose an optimal threshold without visual inspection.
