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Likelihood-based procedures for threshold diagnostics and uncertainty in extreme value modelling

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  • J. L. Wadsworth
  • J. A. Tawn

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  • J. L. Wadsworth & J. A. Tawn, 2012. "Likelihood-based procedures for threshold diagnostics and uncertainty in extreme value modelling," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(3), pages 543-567, June.
    • Handle: RePEc:bla:jorssb:v:74:y:2012:i:3:p:543-567
    DOI: j.1467-9868.2011.01017.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9868.2011.01017.x
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    Cited by:

    1. Sonia Benito & Carmen López-Martín & Mª Ángeles Navarro, 2023. "Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-31, March.
    2. Paul J. Northrop & Nicolas Attalides & Philip Jonathan, 2017. "Cross-validatory extreme value threshold selection and uncertainty with application to ocean storm severity," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(1), pages 93-120, January.
    3. Cebrián, Ana C. & Abaurrea, Jesús & Asín, Jesús, 2015. "NHPoisson: An R Package for Fitting and Validating Nonhomogeneous Poisson Processes," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 64(i06).
    4. M. Roth & G. Jongbloed & T.A. Buishand, 2016. "Threshold selection for regional peaks-over-threshold data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(7), pages 1291-1309, July.
    5. Cristiano Villa, 2017. "Bayesian estimation of the threshold of a generalised pareto distribution for heavy-tailed observations," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 95-118, March.

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