| dc.description.abstract | Extreme events are defined as values of the event below or above a certain value called
threshold. A well-chosen threshold helps to identify the extreme levels. Several methods have
been used to determine threshold so as to analyze and model extreme events. Maximum Product
of spacing is one of these methods. However, there is a problem encountered while modeling
data through this method in that the method breaks down when there is a tie in the exceedances.
This study improved MPS method in order to determine an optimal threshold for extreme values
in a data set containing ties, estimated the GPD parameters with the optimal threshold derived
and then applied the method to determine the GPD parameters for a real market data that could
be containing ties. The study applied a method to determine optimal threshold based on
improved maximum product of spacing method and used Generalized Pareto Distribution (GPD)
and Peak over threshold (POT) methods as the basis of identifying extreme. The peaks-over threshold (POT) models are models for all large observations which exceed a high threshold. The
POT models are generally considered to be the most useful for practical applications. The study
used the method developed to deal with the ties to model the market volume data. This study will
help the Statisticians in different sectors of our economy to model extreme events involving ties.
To Statisticians, the structure of the extreme levels which exist in the tails of the ordinary
distributions is very important in analyzing, predicting and forecasting the likelihood of an
occurrence of extreme event. | en_US |
