Related papers: Functional Peaks-over-threshold Analysis
In extreme value statistics, the peaks-over-threshold method is widely used. The method is based on the generalized Pareto distribution characterizing probabilities of exceedances over high thresholds in $\mathbb {R}^d$. We present a…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
Modelling excesses over a high threshold using the Pareto or generalized Pareto distribution (PD/GPD) is the most popular approach in extreme value statistics. This method typically requires high thresholds in order for the (G)PD to fit…
Multivariate peaks over thresholds modeling based on generalized Pareto distributions has up to now only been used in few and mostly 2-dimensional situations. This paper contributes theoretical understanding, physically based models,…
When assessing the impact of extreme events, it is often not just a single component, but the combined behaviour of several components which is important. Statistical modelling using multivariate generalized Pareto (GP) distributions…
In many applied fields, the prediction of more severe events than those already recorded is crucial for safeguarding against potential future calamities. What-if analyses, which evaluate hypothetical scenarios up to the worst-case event,…
In this paper, we provide finite sample results to assess the consistency of Generalized Pareto regression trees, as tools to perform extreme value regression. The results that we provide are obtained from concentration inequalities, and…
Max-stable processes are increasingly widely used for modelling complex extreme events, but existing fitting methods are computationally demanding, limiting applications to a few dozen variables. $r$-Pareto processes are mathematically…
We review some recent development in the theory of spatial extremes related to Pareto Processes and modeling of threshold exceedances. We provide theoretical background, methodology for modeling, simulation and inference as well as an…
In order to describe the extremal behaviour of some stochastic process $X$, approaches from univariate extreme value theory are typically generalized to the spatial domain. In particular, generalized peaks-over-threshold approaches allow…
Panel data arise in a wide range of application areas, and developing modelling methods for extreme values under such a setup is essential for reliable risk assessment and management. When choosing to model the marginal distributions of…
The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] proposed estimators of the marginal distributions of this…
When modeling a vector of risk variables, extreme scenarios are often of special interest. The peaks-over-thresholds method hinges on the notion that, asymptotically, the excesses over a vector of high thresholds follow a multivariate…
The statistical modeling of discrete extremes has received less attention than their continuous counterparts in the Extreme Value Theory (EVT) literature. One approach to the transition from continuous to discrete extremes is the modeling…
In many applied fields it is desired to make predictions with the aim of assessing the plausibility of more severe events than those already recorded to safeguard against calamities that have not yet occurred. This problem can be analysed…
This brief paper summarize the chances offered by the Peak-Over-Threshold method, related with analysis of extremes. Identification of appropriate Value at Risk can be solved by fitting data with a Generalized Pareto Distribution. Also an…
In samples from a heavy-tailed distribution a second-order approximation is often use to approximate the tail function. Based on the parameters of the approximation, an optimal sample fraction can be estimated which is then used to estimate…
We propose a mean functional which exists for any probability distributions, and which characterizes the Pareto distribution within the set of distributions with finite left endpoint. This is in sharp contrast to the mean excess plot which…
The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection…
Extreme value theory offers a statistical framework for quantifying the risk of rare events, with the generalized Pareto (GP) distribution providing the canonical limit model for univariate threshold exceedances. In many applications,…