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Cross-validatory extreme value threshold selection and uncertainty with application to ocean storm severity

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  • Paul J. Northrop
  • Nicolas Attalides
  • Philip Jonathan

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  • 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.
    • Handle: RePEc:bla:jorssc:v:66:y:2017:i:1:p:93-120
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    References listed on IDEAS

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    1. Martin Crowder, 1992. "Bayesian priors based on a parameter transformation using the distribution function," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 44(3), pages 405-416, September.
    2. Geweke, John & Amisano, Gianni, 2010. "Comparing and evaluating Bayesian predictive distributions of asset returns," International Journal of Forecasting, Elsevier, vol. 26(2), pages 216-230, April.
    3. 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.
    4. Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
    5. MacDonald, A. & Scarrott, C.J. & Lee, D. & Darlow, B. & Reale, M. & Russell, G., 2011. "A flexible extreme value mixture model," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2137-2157, June.
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    Cited by:

    1. Yingjie Wang & Xinsheng Liu, 2022. "A New Point Process Regression Extreme Model Using a Dirichlet Process Mixture of Weibull Distribution," Mathematics, MDPI, vol. 10(20), pages 1-24, October.
    2. Harry Spearing & Jonathan Tawn & David Irons & Tim Paulden & Grace Bennett, 2021. "Ranking, and other properties, of elite swimmers using extreme value theory," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(1), pages 368-395, January.
    3. Dino Collalti & Eric Strobl, 2022. "Economic damages due to extreme precipitation during tropical storms: evidence from Jamaica," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 110(3), pages 2059-2086, February.
    4. E. Zanini & E. Eastoe & M. J. Jones & D. Randell & P. Jonathan, 2020. "Flexible covariate representations for extremes," Environmetrics, John Wiley & Sons, Ltd., vol. 31(5), August.
    5. Douglas E. Johnston, 2021. "Bayesian Forecasting of Dynamic Extreme Quantiles," Forecasting, MDPI, vol. 3(4), pages 1-12, October.

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