Extreme values identification in regression using a peaks-over-threshold approach

DOI10.1080/02664763.2014.978843MaRDI QIDQ5130174zbMATH OpenOpenAlexFDO

Authors Tong Siu Tung Wong, Wai Keung Li

Publication date 4 November 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2014.978843

zbMATH Keywords

exponential threshold modelextreme value indexpeaks-over-thresholdregression diagnostic

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Diagnostics, and linear inference and regression (62J20) Estimation in survival analysis and censored data (62N02) Testing in survival analysis and censored data (62N03) Applications of statistics to environmental and related topics (62P12)

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Cites work

• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• A simple general approach to inference about the tail of a distribution
• A threshold approach for peaks-over-threshold modeling using maximum product of spacings
• An introduction to statistical modeling of extreme values
• Applied Regression Analysis
• Bayesian analysis of extreme events with threshold estimation
• Detection of Influential Observation in Linear Regression
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Estimating tails of probability distributions
• Estimation of a biometric function
• Estimation of high conditional quantiles for heavy-tailed distributions
• Estimation of the extreme-value index and generalized quantile plots
• Generalized Additive Modelling of Sample Extremes
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 3755721 (Why is no real title available?)
• scientific article; zbMATH DE number 2015219 (Why is no real title available?)
• scientific article; zbMATH DE number 2109191 (Why is no real title available?)
• scientific article; zbMATH DE number 1454116 (Why is no real title available?)
• Markov chain models for threshold exceedances
• Maximum likelihood estimation in a class of nonregular cases
• Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
• Multivariate generalized Pareto distributions
• Nonparametric estimation of extreme conditional quantiles
• Penalized likelihood inference in extreme value analyses
• Statistical inference using extreme order statistics
• Statistics of Extremes
• Tail index regression

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Uses Software

• ismev

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