Generalized Maximum Likelihood Pareto‐Poisson estimators for partial duration series

By Eduardo Sávio Passos Rodrigues Martins, Jery R. Stedinger. 2001

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Subfields: Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/7f3608b8bcf3b70f0a58aca2217497097bac173e

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Citations in the corpus

Threshold detection for the generalized Pareto distribution: Review of representative methods and application to the NOAA NCDC daily rainfall database (2016, unknown): “…et al., 1983; Smith, 1985; Leadbetter, 1991; Stedinger et al., 1993; Coles, 2001; Lucarini et al., 2016] and empirical evidences [see e.g., Martins and Stedinger, 2001a, 2001b; Deidda and Puliga, 2006; Veneziano et al., 2007, 2009; Deidda, 2010; Veneziano and Yoon, 2013; Papalexiou et…”
ExtRemes 2.0: An extreme value analysis package in R (2016, methodology): “For Bayesian estimation, the upper and lower quantiles of the posterior probability distribution for the parameters and return levels (possibly after a burn-in period) of the MCMC sample are taken, and for MLE/GMLE several options are available: normal approximation (perhaps via the delta method), p”
Uncertainties in partial duration series modelling of extremes related to the choice of the threshold value (2005, methodology): “As it has been said above, GP is the limit distribution for a type I censored variate, and has been selected by numerous authors for PD modelling (Van Montfort and Witter, 1986; Hosking and Wallis, 1987; Wang, 1991; Madsen and Rosbjerg, 1997; Martins and Stedinger, 2001).”
Bayesian flood frequency analysis in the light of model and parameter uncertainties (2012, background): “…and/or paleo-information could be of great value in the reduction of uncertainties in flood frequency analysis (Stedinger and Cohn 1986; Pilon and Adamowski 1993; Cohn et al. 1997; Kuczera 1999; Martins and Stedinger 2001; O’Connell et al. 2002; Reis and Stedinger 2005; Micevski and Kuczera 2009).”
New asymptotic and preasymptotic results on rainfall maxima from multifractal theory (2009, methodology): “Partial duration series methods do the same using the marginal excesses of Id above u [see, e.g., Stedinger et al., 1993; Beirlant et al., 1996; Martins and Stedinger, 2001a, 2001b ].”
Modelling nonlinear trend for developing non‐stationary rainfall intensity–duration–frequency curve (2017, methodology): “The maximum likelihood method estimates physically infeasible shape parameter values for small samples (<25) (Martins and Stedinge, 2001; Sugahara et al., 2009), and it is not recommended when the value of n is less than 25 (Katz et al., 2002).”
Nonstationary frequency analysis of extreme daily precipitation amounts in Southeastern Canada using a peaks-over-threshold approach (2017, methodology): “Indeed, it is important to tackle these problems of values with no physical significance because, as shown by Martins and Stedinger (2001a), the range of the GEV like that of the GPD depends on the shape parameter.”
Posterior propriety in Bayesian extreme value analyses using reference priors (2015, background): “A distinction can be made between subjective analyses, in which the prior distribution supplies information from an expert (Coles and Tawn, 1996) or more general experience of the quantity under study (Martins and Stedinger, 2000, 2001), and so-called objective analyses (Berger, 2006).”