Hi,
I'm fitting a generalized Pareto distribution to POT exceedances of a data
set. The practical stuff works ok, but I have a question regarding theory.
Is there an equation relating parameters of a gpd tail to its (first)
moments? According to theory for certain parameters either the first moment
does not exist or the distribution has an upper bound, but I haven't found
the mentioned relation about moments in the literatur.
Thanks a lot.
wt
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