NO.PZ2020033001000088
问题如下：
Generalized Pareto distribution, which requires the choice of a threshold, is used to model extreme losses. The threshold must be high enough to ___
选项：
A.generate a heavy tail.
B.generate a thin tail.
C.achieve convergence to the generalized Pareto distribution.
D.screen enough observations to estimate the parameters.
解释：
C is correct.
考点：Threshold level
解析：
A and B are incorrect. Heavy/thin tails are indicated by a tail index greater/less than zero, and the tail index is chosen by the researcher.
D is incorrect. Threshold must be low enough to get enough observations to estimate the parameters.
对于AB错误的解释没有看懂，选threshold低一点的目的不就是为了有足够多的极端数据吗？这样也相当于把尾巴变厚了吧？
