Threshold selection for wave heights: asymptotic methods based on L-moments

Two automatic threshold selection (TS) methods for Extreme Value analysis under a peaks-over-threshold (POT) approach are presented and evaluated, both built on: fitting the Generalized Pareto distribution (GPd) to excesses' samples over candidate levels ; the GPd-specific relation between L-sk...

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Bibliographic Details
Published in:arXiv.org 2021-05
Main Authors: Jessica Silva Lomba, Fraga Alves, Maria Isabel
Format: Article
Language:English
Subjects:
Asymptotic methods
Asymptotic properties
Extreme values
Kurtosis
Statistical methods
Online Access:Get full text
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Summary:Two automatic threshold selection (TS) methods for Extreme Value analysis under a peaks-over-threshold (POT) approach are presented and evaluated, both built on: fitting the Generalized Pareto distribution (GPd) to excesses' samples over candidate levels ; the GPd-specific relation between L-skewness and L-kurtosis; the asymptotic behaviour of the matching L-statistics. Performance is illustrated on significant wave heights data sets and compared to the L-moment-based heuristic in [10], which is found to be favorable. PUBLISHED VERSION AVAILABLE AT: https://www.spestatistica.pt/storage/app/uploads/public/609/28f/6d0/60928f6d08a0c016386627.pdf
ISSN:2331-8422