Improved threshold diagnostic plots for extreme value analyses

DOI10.1007/S10687-014-0183-ZzbMath1308.62104OpenAlexW2007163416MaRDI QIDQ110575

Paul J. Northrop, Claire L. Coleman, Claire L. Coleman, Paul J. Northrop

Publication date: 7 March 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://discovery.ucl.ac.uk/id/eprint/1434002/

zbMATH Keywords

likelihood ratio testscore testextreme value theorypenultimate approximationthresholdgeneralized Pareto distribution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32) Applications of statistics to physics (62P35) Asymptotic properties of parametric tests (62F05)

Related Items (7)

Threshold selection in univariate extreme value analysis ⋮ Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations ⋮ A modeler's guide to extreme value software ⋮ Spatiotemporal wildfire modeling through point processes with moderate and extreme marks ⋮ Invited article by M. Gidea: Extreme events and emergency scales ⋮ Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate ⋮ mev

Uses Software

• ismev

Cites Work

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• Model misspecification in peaks over threshold analysis
• Statistical inference using extreme order statistics
• Maximum likelihood estimation in a class of nonregular cases
• Likelihood-Based Procedures for Threshold Diagnostics and Uncertainty in Extreme Value Modelling
• The two-dimensional Poisson process and extremal processes
• An introduction to statistical modeling of extreme values

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