Tancredi, A. and Anderson, C. and O'Hagan, A. (2002) Accounting for threshold uncertainty in extreme value estimation. [Working Paper] WORKING PAPER SERIES, 12/2002 . , PADOVA (Inedito)
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Tail data are often modelled by fitting a generalized Pareto distribution (GPD) to the exceedances over high thresholds. In practice, a threshold υ is fixed and a GPD is fitted to the data exceeding υ. A difficulty in this approach is the selection of the threshold above which the GPD assumption is appropriate. Moreover the estimates of the parameters of the GPD may depend significantly on the choice of the threshold selected. Sensitivity with respect to the threshold choice is normally studied but this does not fully take account of threshold uncertainty.
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