Improved threshold diagnostic plots for extreme value analyses
From MaRDI portal
Publication:110575
DOI10.1007/s10687-014-0183-zzbMath1308.62104MaRDI QIDQ110575
Paul J. Northrop, Claire L. Coleman, Paul J. Northrop, Claire L. Coleman
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/
likelihood ratio test; score test; extreme value theory; penultimate approximation; threshold; generalized Pareto distribution
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
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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
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