Threshold selection for extremes under a semiparametric model

In this work we propose a semiparametric likelihood procedure for the threshold selection for extreme values. This is achieved under a semiparametric model, which assumes there is a threshold above which the excess distribution belongs to the generalized Pareto family. The motivation of our proposal lays on a particular characterization of the threshold under the aforementioned model. A simulation study is performed to show empirically the properties of the proposal and we also compare it with other estimators. Copyright Springer-Verlag Berlin Heidelberg 2013