Extended generalised Pareto models for tail estimation
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Publication:715593
DOI10.1016/J.JSPI.2012.07.001zbMATH Open1251.62020arXiv1111.6899OpenAlexW2048185457MaRDI QIDQ715593FDOQ715593
Authors: Ioannis Papastathopoulos, Jonathan A. Tawn 
Publication date: 30 October 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Abstract: The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the model fits the data well. Sometimes, few observations of a measurement process might be recorded in applications and so selecting a high quantile of the sample as the threshold leads to almost no exceedances. In this paper we propose extensions of the generalised Pareto distribution that incorporate an additional shape parameter while keeping the tail behaviour unaffected. The inclusion of this parameter offers additional structure for the main body of the distribution, improves the stability of the modified scale, tail index and return level estimates to threshold choice and allows a lower threshold to be selected. We illustrate the benefits of the proposed models with a simulation study and two case studies.
Full work available at URL: https://arxiv.org/abs/1111.6899
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Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)
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- The risk function of the goodness-of-fit tests for tail models
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- Tail fitting for truncated and non-truncated Pareto-type distributions
- Modelling extreme values by the residual coefficient of variation
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