Artikel,
A review of extreme value threshold estimation and uncertainty quantification
REVSTAT - Statistical Journal, 10 (1): 33--60 (2012)
Zusammenfassung
The last decade has seen development of a plethora of approaches for threshold estimation in extreme value applications. From a statistical perspective, the threshold is loosely defined such that the population tail can be well approximated by an extremevalue model (e.g., the generalised Pareto distribution), obtaining a balance betweenthe bias due to the asymptotic tail approximation and parameter estimation uncertainty due to the inherent sparsity of threshold excess data. This paper reviews recent advances and some traditional approaches, focusing on those that provide quantification of the associated uncertainty on inferences (e.g., return level estimation).
