An entropic view of Pickands’ theorem
An entropic view of Pickands’ theorem
It is shown that distributions arising in Renyi-Tsallis maximum entropy setting are related to the generalized Pareto distributions (GPD) that are widely used for modeling the tails of distributions. The relevance of such modelization, as well as the ubiquity of GPD in practical situations follows from Balkema-De Haan-Pickands theorem on …