An Intuitive Curve-Fit Approach to Probability-Preserving Prediction of Extremes
Statistics Theory
2014-08-08 v1 Statistics Theory
Abstract
A method is described for predicting extremes values beyond the span of historical data. The method - based on extending a curve fitted to a location- and scale-invariant variation of the double-logarithmic QQ-plot - is simple and intuitive, yet it preserves probability to a good approximation. The procedure is developed on the Generalised Pareto Distribution (GPD), but is applicable to the upper order statistics of a wide class of distributions.
Keywords
Cite
@article{arxiv.1408.1532,
title = {An Intuitive Curve-Fit Approach to Probability-Preserving Prediction of Extremes},
author = {Allan McRobie},
journal= {arXiv preprint arXiv:1408.1532},
year = {2014}
}
Comments
20 pages, 16 figures