Improved threshold diagnostic plots for extreme value analyses

DOI10.1007/s10687-014-0183-zzbMath1308.62104MaRDI QIDQ110575

Paul J. Northrop, Claire L. Coleman, Claire L. Coleman, Paul J. Northrop

Publication date: 7 March 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://discovery.ucl.ac.uk/id/eprint/1434002/

zbMATH Keywords

likelihood ratio test; score test; extreme value theory; penultimate approximation; threshold; generalized Pareto distribution

Mathematics Subject Classification ID

62F03: Parametric hypothesis testing

62P12: Applications of statistics to environmental and related topics

62G32: Statistics of extreme values; tail inference

62P35: Applications of statistics to physics

62F05: Asymptotic properties of parametric tests

Related Items

Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate, Threshold selection in univariate extreme value analysis, mev, Invited article by M. Gidea: Extreme events and emergency scales, Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations, Spatiotemporal wildfire modeling through point processes with moderate and extreme marks

Uses Software

• ismev

Cites Work

• Model misspecification in peaks over threshold analysis
• Statistical inference using extreme order statistics
• Maximum likelihood estimation in a class of nonregular cases
• Likelihood-Based Procedures for Threshold Diagnostics and Uncertainty in Extreme Value Modelling
• The two-dimensional Poisson process and extremal processes
• An introduction to statistical modeling of extreme values
• Unnamed Item
• Unnamed Item