0
$\begingroup$

I have a problem with selecting a threshold for a dataset I cannot show here. In a MRL-plot, a suitable threshold should be linear with the gradient ξ/(1−ξ) and intercept σ_u/(1−ξ) (as of my understanding).

enter image description here

And a parameter stability plot

enter image description here

Based on the parameter stability-plot a stable threshold would be around 0.09-0.10. And if I use the coefficiants of the fitted GDP based on a threshold of 0.09, I get the following "line" in the MRL-plot:

enter image description here

Is this a suitable threshold?

Improve this question
$\endgroup$

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.