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Abstract Details

Activity Number: 292
Type: Contributed
Date/Time: Tuesday, July 31, 2012 : 8:30 AM to 10:20 AM
Sponsor: Section on Risk Analysis
Abstract - #304375
Title: Threshold Parameter Estimator Comparisons Based on Natural Data
Author(s): Michael Tarter*+
Companies: University of California at Berkeley
Address: 140 Warren Hall, Berkeley, CA, 94720, United States

Lognormal and many other models for a variate X's density are often characterized by values assumed by a location, mu, a scale parameter, sigma, and a threshold parameter tau. Once is tau is determined, long-established methodology can be based on transformed variates such as Y = ln(X - tau). Consequently many likelihood-based and graphical techniques require user input of prior information about tau's value. Hence the question arises, how can model-free estimation procedures help reduce the danger that unwarranted assumptions and/or inappropriate starting values will cause tau-estimation algorithm divergence?

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