Modelling the distribution of the cluster maxima of exceedances of subasymptotic thresholds

DOI10.1093/biomet/asr078zbMath1234.62061MaRDI QIDQ3224214

Emma F. Eastoe, Jonathan A. Tawn

Publication date: 29 March 2012

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asr078

zbMATH Keywords

extremal index; generalized Pareto distribution; peaks over thresholds; L-moment

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62E15: Exact distribution theory in statistics

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

62M99: Inference from stochastic processes

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