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One of the main issues in the statistical literature of extremes concerns the tail index estimation, closely linked to the determination of a threshold above which a Generalized Pareto Distribution (GPD) can be fitted. Approaches to this estimation may be classified into two classes, one using standard Peak Over Threshold (POT) methods, in which the threshold to estimate the tail is chosen graphically according to the problem, the other suggesting self-calibrating methods, where the thresholddoi:10.2139/ssrn.2898731 fatcat:y7eos5o4j5dkpgg4m5qwitsn2a