Exceedance Over Threshold

Holger Drees

Holger Drees

University of Hamburg, Hamburg, Germany

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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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