A1440
Title: On the selection of the threshold with probability weighted moments
Authors: Frederico Caeiro - NOVA.ID.FCT - Universidade Nova de Lisboa (Portugal) [presenting]
Ivette Gomes - FCiencias.ID, Universidade de Lisboa and CEAUL (Portugal)
Abstract: In hydrology and other applied fields, probability-weighted moments (PWMs) are a common tool for estimating the parameters of extreme value distributions. The focus is on the PWM estimator of the extreme value index (EVI) of a Pareto-type model. However, due to the estimator's specific properties, a direct estimation of the threshold is not straightforward. An adaptive approach is studied to choose the number of order statistics to be used in the estimation. Furthermore, the introduced methodology is applied to a dataset in the insurance field.
