How to improve GPD fit (fitgenpar)?

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ke

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Oct 26, 2012, 2:43:07 PM10/26/12
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In an extreme value analysis, I used the Poisson and MRL criteria to identify a threshold, then fit the Generalized Pareto Distribution (fitgenpar) to the peaks above the chosen threshold. The threshold appears reasonable on the dispersion index and MRL plots, but the quantile-quantile plot shows that the fit is poor for the higher values. On the QQ plot, the lower values lie on a line indicating a good fit, but the higher values lie on another line. Does this mean I should manually choose a higher threshold?
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