When Does the Mean Excess Plot Look Linear?
Work
Year: 2011
Type: article
Abstract: In risk analysis, the mean excess plot is a commonly used exploratory plotting technique for confirming iid data is consistent with a generalized Pareto assumption for the underlying distribution sinc... more
Source: Stochastic Models
Authors Souvik Ghosh, Sidney I. Resnick
Institutions Yahoo (United Kingdom), Cornell University
Cites: 21
Cited by: 10
Related to: 10
FWCI:
Citation percentile (by year/subfield): 79.6
Subfield: Finance
Domain: Social Sciences
Open Access status: green