A Review of Extreme Value Threshold Estimation and Uncertainty Quantification

Autor:	Carl Scarrott, Anna MacDonald
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	extreme value threshold selection graphical diagnostics mixture modelling rule of thumb threshold uncertainty Statistics HA1-4737 Probabilities. Mathematical statistics QA273-280
Zdroj:	Revstat Statistical Journal, Vol 10, Iss 1 (2012)
Druh dokumentu:	article
ISSN:	1645-6726 2183-0371
DOI:	10.57805/revstat.v10i1.110
Popis:	The last decade has seen development of a plethora of approaches for threshold estimation in extreme value applications. From a statistical perspective, the threshold is loosely defined such that the population tail can be well approximated by an extreme value model (e.g., the generalised Pareto distribution), obtaining a balance between the bias due to the asymptotic tail approximation and parameter estimation uncertainty due to the inherent sparsity of threshold excess data. This paper reviews recent advances and some traditional approaches, focusing on those that provide quantification of the associated uncertainty on inferences (e.g., return level estimation).
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/b0e7a3fc3d194aedbf2052a4a9020004 Zobrazit plný text záznamu View record in DOAJ