Extreme Value Theory (Peaks Over Threshod)

[Nourhaine]

Hi,
I would employ the POT method using GPD. To do this, I need to choose the threshold for identifying the relevant tail region using Mean Excess Plot (MEP). The choice of the threshold could be done by detecting an area with a linear shape on the graph. Here the MEP for right and left tails, but I can’t find the relevant threshold.
i would appreciate if you could help me.
Thanks in advance.

 

[ShaktiRathore]

Hi
As far as i can get for Gpd to be valid the plot must be linear above the threshold i can see the threshold as u=0 beyound which the graph is linear. So i think relevent threshold should be 0.
Thanks

 

[Nourhaine]

Thanks so much for your answer.