Eastoe, Emma F. and Tawn, Jon (2012) Modelling the distribution for the cluster maxima of exceedances of sub-asymptotic thresholds. Biometrika, 99 (1). pp. 43-55. ISSN 1464-3510Full text not available from this repository.
A standard approach to model the extreme values of a stationary process is the peaks over threshold method, which consists of imposing a high threshold, identifying clusters of exceedances of this threshold, and fitting the maximum value from each cluster using the generalised Pareto distribution. This approach is strongly justified by underlying asymptotic theory. We propose an alternative model for the distribution of the cluster maxima which accounts for the sub-asymptotic theory of extremes of a stationary process. This new distribution is a product of two terms, one for the marginal distribution of exceedances and the other for the dependence structure of the exceedance values within a cluster. We illustrate the improvement in fit, measured by the root mean square error of the estimated quantiles, offered by the new distribution over the peaks over thresholds analysis using simulated and hydrological data, and we suggest a diagnostic tool to help identify when the proposed model is likely to lead to such an improvement in fit.
|Journal or Publication Title:||Biometrika|
|Uncontrolled Keywords:||cluster maxima, extremal index, generalised Pareto distribution, L-moments, peaks over thresholds|
|Subjects:||Q Science > QA Mathematics|
|Departments:||Faculty of Science and Technology > Mathematics and Statistics|
|Deposited By:||Dr Emma Eastoe|
|Deposited On:||31 Jul 2009 10:16|
|Last Modified:||15 Aug 2012 09:41|
Actions (login required)