Models for Exceedances Over High Thresholds

1990-07-01articleJournal of the Royal Statistical Society Series B (Statistical Methodology)1,725 citationsclosed

No readable copy stored yet — this record is metadata only.

Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

SUMMARY We discuss the analysis of the extremes of data by modelling the sizes and occurrence of exceedances over high thresholds. The natural distribution for such exceedances, the generalized Pareto distribution, is described and its properties elucidated. Estimation and model-checking procedures for univariate and regression data are developed, and the influence of and information contained in the most extreme observations in a sample are studied. Models for seasonality and serial dependence in the point process of exceedances are described. Sets of data on river flows and wave heights are discussed, and an application to the siting of nuclear installations is described.

Citations in this library

Stored only when both papers are in the corpus — 1,725 citations exist upstream.

References

1987Extreme Values, Regular Variation and Point Processes

1990The Asymptotic Theory of Extreme Order Statistics

Cited by

2001Extreme Correlation of International Equity Markets

2006Analysis of Financial Time Series

2007The t Copula and Related Copulas

1999Dependence Measures for Extreme Value Analyses

1996Statistics for near independence in multivariate extreme values

1989Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone

2004A Conditional Approach for Multivariate Extreme Values (with Discussion)

2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications