Lecture

Peaks-Over-Threshold Model: Implications and Estimation

In course

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Description

This lecture covers the Peaks-Over-Threshold (POT) model, which assumes exceedances follow a Poisson process and excess amounts are independent and identically distributed. The lecture discusses implications of the model, intensity measures, distribution of excess, and estimation methods. It also explores the implications of fitting a Generalized Pareto Distribution (GPD) model to exceedances over a threshold, highlighting the stability of parameter estimates over a range of thresholds.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_1gsm968z

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Ontological neighbourhood

Business

Finance: Financial risk management, Investment management

Statistics

Statistical inference: Mathematical statistics

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