English

Cross-validatory extreme value threshold selection and uncertainty with application to ocean storm severity

Methodology 2016-06-02 v3 Applications

Abstract

Designs conditions for marine structures are typically informed by threshold-based extreme value analyses of oceanographic variables, in which excesses of a high threshold are modelled by a generalized Pareto (GP) distribution. Too low a threshold leads to bias from model mis-specification; raising the threshold increases the variance of estimators: a bias-variance trade-off. Many existing threshold selection methods do not address this trade-off directly, but rather aim to select the lowest threshold above which the GP model is judged to hold approximately. In this paper Bayesian cross-validation is used to address the trade-off by comparing thresholds based on predictive ability at extreme levels. Extremal inferences can be sensitive to the choice of a single threshold. We use Bayesian model-averaging to combine inferences from many thresholds, thereby reducing sensitivity to the choice of a single threshold. The methodology is applied to significant wave height datasets from the northern North Sea and the Gulf of Mexico.

Keywords

Cite

@article{arxiv.1504.06653,
  title  = {Cross-validatory extreme value threshold selection and uncertainty with application to ocean storm severity},
  author = {Paul Northrop and Nicolas Attalides and Philip Jonathan},
  journal= {arXiv preprint arXiv:1504.06653},
  year   = {2016}
}

Comments

24 pages, 15 figures. Confidence intervals in Figure 2 corrected. The final publication is available at Wiley via http://dx.doi.org/10.1111/rssc.12159

R2 v1 2026-06-22T09:22:27.588Z