Accounting for the threshold uncertainity in extreme value estimation (Q2463692): Difference between revisions
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Revision as of 07:14, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Accounting for the threshold uncertainity in extreme value estimation |
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Accounting for the threshold uncertainity in extreme value estimation (English)
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16 December 2007
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It is well known that the distribution of exceedance over a high threshold can be approximated by a generalized Pareto distribution (GDP). The aim of this paper is to determine an appropriate threshold for such approximations. The data is assumed to be an i.i.d. sample with a PDF which is peacewise constant below some threshold \(\alpha\) and is GDP over \(\alpha\). A Bayesian approach is used for the estimation of the parameters. Results of simulations and application to river Nidd data are presented.
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Bayesian estimation
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generalized Pareto distribution
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uniform mixtures
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