Model misspecification in peaks over threshold analysis

DOI10.1214/09-AOAS292zbMATH Open1189.62086arXiv1010.1357OpenAlexW1978678999MaRDI QIDQ79202FDOQ79202

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

Publication date: 1 March 2010

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

Abstract: Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances. Under mild conditions a compound Poisson process model allows the estimation of the marginal distribution of threshold exceedances and of the mean cluster size, but requires the choice of a threshold and of a run parameter, $K$, that determines how exceedances are declustered. We extend a class of estimators of the reciprocal mean cluster size, known as the extremal index, establish consistency and asymptotic normality, and use the compound Poisson process to derive misspecification tests of model validity and of the choice of run parameter and threshold. Simulated examples and real data on temperatures and rainfall illustrate the ideas, both for estimating the extremal index in nonstandard situations and for assessing the validity of extremal models.

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

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zbMATH Keywords

clusterlikelihoodextremal indexextreme value theorymodel misspecification[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Neuch%EF%BF%BD%EF%BF%BDtel+temperature+data&go=Go Neuch��tel temperature data]Venezuelan rainfall data

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

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Cited In (21)

• Extremal clustering in non-stationary random sequences
• Estimating the extremal index through local dependence
• Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
• A modeler's guide to extreme value software
• A goodness-of-fit test for heavy tailed distributions with unknown parameters and its application to simulated precipitation extremes in the Euro-Mediterranean region
• Maxima of moving maxima of continuous functions
• Extremal properties of evolving networks: local dependence and heavy tails
• Threshold selection for extremal index estimation
• revdbayes
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• Estimation of the extremal index using censored distributions
• Bootstrap and Other Resampling Methodologies in Statistics of Extremes
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• Weak convergence of a pseudo maximum likelihood estimator for the extremal index
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• Clustering of extreme values: estimation and application
• Estimating the upcrossings index
• Improved interexceedance-times-based estimator of the extremal index using truncated distribution
• A new blocks estimator for the extremal index

Uses Software

• ismev

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