Model misspecification in peaks over threshold analysis

DOI10.1214/09-aoas292zbMath1189.62086arXiv1010.1357OpenAlexW1978678999MaRDI QIDQ79202

Mária Süveges, Anthony C. Davison, Anthony C. Davison, Mária Süveges

Publication date: 1 March 2010

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.1357

zbMATH Keywords

clusterlikelihoodextreme value theoryextremal indexmodel misspecificationNeuchâtel temperature dataVenezuelan rainfall data

Mathematics Subject Classification ID

Related Items (18)

A goodness-of-fit test for heavy tailed distributions with unknown parameters and its application to simulated precipitation extremes in the Euro-Mediterranean region ⋮ Extremal clustering in non-stationary random sequences ⋮ Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network ⋮ Estimating the extremal index through local dependence ⋮ Estimating the upcrossings index ⋮ A new blocks estimator for the extremal index ⋮ A modeler's guide to extreme value software ⋮ Some variations on the extremal index ⋮ Maxima of moving maxima of continuous functions ⋮ exdex ⋮ lite ⋮ Estimation of the extremal index using censored distributions ⋮ An efficient semiparametric maxima estimator of the extremal index ⋮ Weak convergence of a pseudo maximum likelihood estimator for the extremal index ⋮ Improved threshold diagnostic plots for extreme value analyses ⋮ revdbayes ⋮ Improved interexceedance-times-based estimator of the extremal index using truncated distribution ⋮ Bootstrap and Other Resampling Methodologies in Statistics of Extremes

Uses Software

• ismev

Cites Work

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