Likelihood-Based Procedures for Threshold Diagnostics and Uncertainty in Extreme Value Modelling

DOI10.1111/J.1467-9868.2011.01017.XMaRDI QIDQ4632674zbMATH OpenOpenAlexFDO

Authors Jonathan A. Tawn, Jennifer L. Wadsworth

Publication date 30 April 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9868.2011.01017.x

zbMATH Keywords

extreme value theorygeneralized Pareto distributionlikelihood ratio testnon-homogeneous Poisson processpenultimate approximationthreshold

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

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(11)

• Improved threshold diagnostic plots for extreme value analyses
• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
• Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
• Accounting for the threshold uncertainity in extreme value estimation
• Threshold selection for extremes under a semiparametric model
• A review of extreme value threshold estimation and uncertainty quantification
• Penalized likelihood inference in extreme value analyses
• Threshold selection for regional peaks-over-threshold data
• A primer on Bayesian distributional regression
• Estimating precipitation extremes using the log-histospline
• Nonparametric estimation of splicing points in skewed cost distributions: a kernel-based approach

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