Threshold Selection in Extreme Value Analysis

By Frederico Caeiro, M. Ivette Gomes. 2016

77 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/830596423c670263ce4befec2c5c85189b4d660f

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Citations in the corpus

• Cross‐validatory extreme value threshold selection and uncertainty with application to ocean storm severity (2015, background): “, 2000; Wadsworth, 2015); goodness-of-fit tests (Davison and Smith, 1990; Dupuis, 1999); approaches that minimize the asymptotic mean-squared error (MSE) of estimators of ξ or of extreme quantiles, under particular assumptions about the form of the upper tail of H (Hall and Welsh, 1985; Hall, 1990; ”