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Modelling Excesses over High Thresholds, with an Application

  • Davison A
Springer Netherlands, (1984), 461-482
DOI: 10.1007/978-94-017-3069-3_34
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Abstract

In many areas of application the extremes of some process may be modelled by considering only its exceedances of a high threshold level. The natural parametric family for such excesses for continuous parent random variables, the generalized Pareto distribution, is...

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Davison, A. C. (1984). Modelling Excesses over High Thresholds, with an Application. In Statistical Extremes and Applications (pp. 461–482). Springer Netherlands. https://doi.org/10.1007/978-94-017-3069-3_34

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