Improved threshold diagnostic plots for extreme value analyses

DOI10.1007/S10687-014-0183-ZMaRDI QIDQ110575zbMATH OpenOpenAlexFDO

Authors 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/

zbMATH Keywords

extreme value theorygeneralized Pareto distributionlikelihood ratio testpenultimate approximationscore testthreshold

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12) Applications of statistics to physics (62P35)

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Cites work

• A review of extreme value threshold estimation and uncertainty quantification
• An introduction to statistical modeling of extreme values
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• Likelihood-Based Procedures for Threshold Diagnostics and Uncertainty in Extreme Value Modelling
• Maximum likelihood estimation in a class of nonregular cases
• Model misspecification in peaks over threshold analysis
• Statistical inference using extreme order statistics
• The two-dimensional Poisson process and extremal processes

Cited in

(15)

• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
• 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
• A diagnostic for selecting the threshold in extreme value analysis
• scientific article; zbMATH DE number 3917511 (Why is no real title available?)
• Diagnostics for Dependence within Time Series Extremes
• Threshold selection for regional peaks-over-threshold data
• A modeler's guide to extreme value software
• Nonstationary POT modelling of air pollution concentrations: statistical analysis of the traffic and meteorological impact
• An entropy-based validation of threshold selection technique for extreme value analysis and risk assessment
• Automated Threshold Selection and Associated Inference Uncertainty for Univariate Extremes
• Nonparametric estimation of splicing points in skewed cost distributions: a kernel-based approach
• Threshold selection in univariate extreme value analysis

Describes a project that uses

Uses Software

• ismev

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