Model misspecification in peaks over threshold analysis
نویسندگان
چکیده
منابع مشابه
Model Misspecification in Peaks over Threshold Analysis
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 paramet...
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ژورنال
عنوان ژورنال: The Annals of Applied Statistics
سال: 2010
ISSN: 1932-6157
DOI: 10.1214/09-aoas292