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

DOI10.1111/j.1467-9868.2011.01017.xzbMath1411.62127OpenAlexW1598299151MaRDI QIDQ4632674

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

likelihood ratio testextreme value theorypenultimate approximationthresholdgeneralized Pareto distributionnon-homogeneous Poisson process

Mathematics Subject Classification ID

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

Related Items (5)

Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations ⋮ Threshold selection for regional peaks-over-threshold data ⋮ A primer on Bayesian distributional regression ⋮ 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

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