Welcome to European Tribune. It's gone a bit quiet around here these days, but it's still going.
It would be highly inefficient to perform estimates merely on a few extreme values. If one estimates parameters using all threshold exceedances however, then there's a lot more data available to use. That's the idea anyway, together with the fact that the possible asymptotics belong to on of three families of EV distributions: Gumbel, Frechet or Negative Weibull.

$E(X_t|F_s) = X_s,\quad t > s$
by martingale on Mon Sep 22nd, 2008 at 05:00:21 AM EST
[ Parent ]

Others have rated this comment as follows:

Migeru 4


Top Diaries

Occasional Series