danish

<p>These data describe large fire insurance claims in Denmark from Thursday 3rd January 1980 until Monday 31st December 1990. The data are contained in a numeric vector. They were supplied by Mette Rytgaard of Copenhagen Re</p>

Different approaches for selecting the threshold in generalized Pareto distributions. Most of them are based on minimizing the AMSE-criterion or at least by reducing the bias of the assumed GPD-model. Others are heuristically motivated by searching for stable sample paths, i.e. a nearly constant region of the tail index estimator with respect to k, which is the number of data in the tail. The third class is motivated by graphical inspection. In addition, a sequential testing procedure for GPD-GoF-tests is also implemented here.

Johannes Ossberger

Threshold Estimation Approaches

danish function

<p>The format is:
 atomic [1:2167] 1.68 2.09 1.73 1.78 4.61 ...
 - attr(*, "times")= POSIXt[1:2167], format: "1980-01-03 01:00:00" "1980-01-04 01:00:00" ...</p>

danish: Danish Fire Insurance Claims

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