Multivariate Threshold Methods

Richard L. Smith
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Richard L. Smith: University of North Carolina, Department of Statistics

A chapter in Extreme Value Theory and Applications, 1994, pp 225-248 from Springer

Abstract: Abstract In this paper, I review a variety of approaches to the estimation of extremal properties of a probability distribution or stochastic process. Statistical methods based on exceedances over a high threshold have gained in popularity in recent years, as compared with the much older methods based directly on the extreme value distributions. Nevertheless, there remain some critical questions about their application.

Keywords: Point Process; Generalize Extreme Value; Threshold Method; Generalize Pareto Distribution; Ozone Level (search for similar items in EconPapers)
Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-3638-9_14

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DOI: 10.1007/978-1-4613-3638-9_14

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