Choice of Threshold (Extreme Value Theory)

[Nourhaine]

Dear Members;
I'm working on Extreme Value Theory (POT method) and I'm trying to determine the appropriate threshold u above it, the mean excess plot is a sloped straight line. Shape and Scale parameters should be stable.
I would be very grateful if you could help me.

 

[ShaktiRathore]

Hi
After seeing the plots i think threshold could be anywhere between 1.5 to 2 beyond which graph seems more linear. You can choose corresponding shape for eg i pick threshold 1.5 then shape is about .1 and scale is about .4 take the mean value for corresponding threshold.
Thanks

 

[Nourhaine]

thanks for your answer