The generalized Pareto process; with a view towards application and simulation
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Publication:470047
DOI10.3150/13-BEJ538zbMATH Open1312.60068arXiv1203.2551OpenAlexW3103053406MaRDI QIDQ470047FDOQ470047
Authors: Ana Ferreira, Laurens De Haan 
Publication date: 11 November 2014
Published in: Bernoulli (Search for Journal in Brave)
Abstract: In extreme value statistics, the peaks-over-threshold method is widely used. The method is based on the generalized Pareto distribution characterizing probabilities of exceedances over high thresholds in . We present a generalization of this concept in the space of continuous functions. We call this the generalized Pareto process. Differently from earlier papers, our definition is not based on a distribution function but on functional properties, and does not need a reference to a related max-stable process. As an application, we use the theory to simulate wind fields connected to disastrous storms on the basis of observed extreme but not disastrous storms. We also establish the peaks-over-threshold approach in function space.
Full work available at URL: https://arxiv.org/abs/1203.2551
Recommendations
extreme value theorymax-stable processesdomain of attractionfunctional regular variationgeneralized Pareto processpeaks-over-threshold method
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