Contents/conteúdo

Probability and Statistics Seminar   RSS

Planned sessions

14/07/2021, 13:00 — 14:00 Europe/Lisbon — Instituto Superior Técnicohttp://tecnico.ulisboa.pt
, Department of Statistical Science, University College London

Extreme value threshold selection and uncertainty

A common form of extreme value modelling involves modelling excesses of a threshold by a generalised Pareto (GP) distribution. The GP model arises by considering the possible limiting distributions of excesses as the threshold increased. Selecting too low a threshold leads to bias from model misspecification; raising the threshold increases the variance of estimators: a bias-variance trade-off. Some threshold selection methods do not address this trade-off directly, but rather aim to select the lowest threshold above which the GP model is judged to hold approximately. We use Bayesian cross-validation to address the trade-off by comparing thresholds based on predictive ability at extreme levels. Extremal inferences can be sensitive to the choice of a single threshold. We use Bayesian model averaging to combine inferences from many thresholds, thereby reducing sensitivity to the choice of a single threshold. The methodology is illustrated using significant wave height datasets from the North Sea and from the Gulf of Mexico.

Joint seminar CEMAT and CEAUL

Email announcements subscription

This seminar series has an active subscriber list. It is used by the seminar organizer to publicize events. To request or cancel membership add your name and email below. Depending on your address being on the list or not you will be able to unsubscribe or subscribe.

Data submission