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research article

Model misspecification in peaks over threshold analysis

Süveges, Mária  
•
Davison, Anthony C.  
2010
The Annals of Applied Statistics

Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances. Under mild conditions a compound Poisson process model allows the estimation of the marginal distribution of threshold exceedances and of the mean cluster size, but requires the choice of a threshold and of a run parameter, K, that determines how exceedances are declustered. We extend a class of estimators of the reciprocal mean cluster size, known as the extremal index, establish consistency and asymptotic normality, and use the compound Poisson process to derive misspecification tests of model validity and of the choice of run parameter and threshold. Simulated examples and real data on temperatures and rainfall illustrate the ideas, both for estimating the extremal index in nonstandard situations and for assessing the validity of extremal models.

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Type
research article
DOI
10.1214/09-AOAS292
Web of Science ID

WOS:000283528300010

Author(s)
Süveges, Mária  
Davison, Anthony C.  
Date Issued

2010

Published in
The Annals of Applied Statistics
Volume

4

Issue

1

Start page

203

End page

221

Subjects

Cluster

•

extremal index

•

extreme value theory

•

likelihood

•

model misspecification

•

Neuchatel temperature data

•

Venezuelan rainfall data

•

Maximum-Likelihood Estimation

•

False Discovery Rate

•

Inference

•

Extremes

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
CIB  
Available on Infoscience
February 24, 2010
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/47681
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