Exceedance Over Threshold†
First published: 15 January 2013
†
Based in part on the article “Exceedance over threshold” by Holger Drees, which appeared in the Encyclopedia of Environmetrics.
Abstract
We consider methods from extreme value statistics to fit threshold models to univariate or multivariate samples. Moreover, the influence of serial dependence between observations on the estimation accuracy and on quantities of interest, such as return levels, is discussed.
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