The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Models for Exceedances Over High Thresholds
Abstract
SUMMARY: We discuss the analysis of the extremes of data by modelling the sizes and occurrence of exceedances over high thresholds. The natural distribution for such exceedances, the generalized Pareto distribution, is described and its properties elucidated. Estimation and model-checking procedures for univariate and regression data are developed, and the influence of and information contained in the most extreme observations in a sample are studied. Models for seasonality and serial dependence in the point process of exceedances are described. Sets of data on river flows and wave heights are discussed, and an application to the siting of nuclear installations is described.
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Citations
Cites
Handbook of Mathematical Functions
McQuarrie, D. A. (1966) · American Journal of Physics · doi:10.1119/1.1972842 · Cited by 40,433
Cited by
Analysis of Financial Time Series
(2006) · Technometrics · doi:10.1198/tech.2006.s405 · Cited by 2,348
Generalized maximum‐likelihood generalized extreme‐value quantile estimators for hydrologic data
Martins, E. S., & Stedinger, J. R. (2000) · Water Resources Research · doi:10.1029/1999wr900330 · Cited by 687
A Conditional Approach for Multivariate Extreme Values (with Discussion)
Heffernan, J. E., & Tawn, J. A. (2004) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.1467-9868.2004.02050.x · Cited by 677
A Hierarchical Model for Serially-Dependent Extremes: A Study of Heat Waves in the Western US
Reich, B. J., Shaby, B. A., & Cooley, D. (2014) · Journal of Agricultural, Biological, and Environmental Statistics · doi:10.1007/s13253-013-0161-y · Cited by 45
Estimating concurrent climate extremes: A conditional approach
Huang, W. K., Monahan, A. H., & Zwiers, F. W. (2021) · Weather and Climate Extremes · doi:10.1016/j.wace.2021.100332 · Cited by 23
Metadata
- Authors
- Davison, A. C., & Smith, R. L.
- Venue
- Journal of the Royal Statistical Society Series B: Statistical Methodology
- Publisher
- Oxford University Press (OUP)
- Published
- 1990-07-01
- Volume
- 52
- Issue
- 3
- Pages
- 393-425
- ISSN
- 1369-7412 (ISSN-L)
- 1467-9868
- OpenAlex
- W128533561
- Cited by
- 1,715
- References
- 1
- FWCI
- 15.56
- Type
- journal article
- Language
- en
- Open access
- closed
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- Davison, A. C., & Smith, R. L. (1990). Models for Exceedances Over High Thresholds. Journal of the Royal Statistical Society Series B: Statistical Methodology. https://doi.org/10.1111/j.2517-6161.1990.tb01796.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
