Model misspecification in peaks over threshold analysis

DOI10.1214/09-AOAS292MaRDI QIDQ79202zbMATH OpenOpenAlexFDO

Authors Mária Süveges, Anthony C. Davison, Mária Süveges, A. C. Davison

Publication date 1 March 2010

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

Full work available at URL https://arxiv.org/abs/1010.1357

zbMATH Keywords

clusterlikelihoodextremal indexextreme value theorymodel misspecificationVenezuelan rainfall dataNeuchâtel temperature data

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

Abstract: Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances. Under mild conditions a compound Poisson process model allows the estimation of the marginal distribution of threshold exceedances and of the mean cluster size, but requires the choice of a threshold and of a run parameter, $K$, that determines how exceedances are declustered. We extend a class of estimators of the reciprocal mean cluster size, known as the extremal index, establish consistency and asymptotic normality, and use the compound Poisson process to derive misspecification tests of model validity and of the choice of run parameter and threshold. Simulated examples and real data on temperatures and rainfall illustrate the ideas, both for estimating the extremal index in nonstandard situations and for assessing the validity of extremal models.

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Cited in

(22)

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Uses Software

• ismev

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