Estimation of Extreme Values by the Average Conditional Exceedance Rate Method
This paper details a method for extreme value prediction on the basis of a sampled time series. The method is specifically designed to account for statistical dependence between the sampled data points in a precise manner. In fact, if properly used, the new method will provide statistical estimates...
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| Format: | Article |
| Language: | English |
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Wiley
2013-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2013/797014 |
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| _version_ | 1850176722991841280 |
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| author | A. Naess O. Gaidai O. Karpa |
| author_facet | A. Naess O. Gaidai O. Karpa |
| author_sort | A. Naess |
| collection | DOAJ |
| description | This paper details a method for extreme value prediction on the basis of a sampled time series. The method is specifically designed to account for statistical dependence between the sampled data points in a precise manner. In fact, if properly used, the new method will provide statistical estimates of the exact extreme value distribution provided by the data in most cases of practical interest. It avoids the problem of having to decluster the data to ensure independence, which is a requisite component in the application of, for example, the standard peaks-over-threshold method. The proposed method also targets the use of subasymptotic data to improve prediction accuracy. The method will be demonstrated by application to both synthetic and real data. From a practical point of view, it seems to perform better than the POT and block extremes methods, and, with an appropriate modification, it is directly applicable to nonstationary time series. |
| format | Article |
| id | doaj-art-bdcb8a1379a748f3be60b9c40b2d5592 |
| institution | OA Journals |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-bdcb8a1379a748f3be60b9c40b2d55922025-08-20T02:19:12ZengWileyJournal of Probability and Statistics1687-952X1687-95382013-01-01201310.1155/2013/797014797014Estimation of Extreme Values by the Average Conditional Exceedance Rate MethodA. Naess0O. Gaidai1O. Karpa2Department of Mathematical Sciences and CeSOS, Norwegian University of Science and Technology, 7491 Trondheim, NorwayNorwegian Marine Technology Research Institute, 7491 Trondheim, NorwayCentre for Ships and Ocean Structures (CeSOS), Norwegian University of Science and Technology, 7491 Trondheim, NorwayThis paper details a method for extreme value prediction on the basis of a sampled time series. The method is specifically designed to account for statistical dependence between the sampled data points in a precise manner. In fact, if properly used, the new method will provide statistical estimates of the exact extreme value distribution provided by the data in most cases of practical interest. It avoids the problem of having to decluster the data to ensure independence, which is a requisite component in the application of, for example, the standard peaks-over-threshold method. The proposed method also targets the use of subasymptotic data to improve prediction accuracy. The method will be demonstrated by application to both synthetic and real data. From a practical point of view, it seems to perform better than the POT and block extremes methods, and, with an appropriate modification, it is directly applicable to nonstationary time series.http://dx.doi.org/10.1155/2013/797014 |
| spellingShingle | A. Naess O. Gaidai O. Karpa Estimation of Extreme Values by the Average Conditional Exceedance Rate Method Journal of Probability and Statistics |
| title | Estimation of Extreme Values by the Average Conditional Exceedance Rate Method |
| title_full | Estimation of Extreme Values by the Average Conditional Exceedance Rate Method |
| title_fullStr | Estimation of Extreme Values by the Average Conditional Exceedance Rate Method |
| title_full_unstemmed | Estimation of Extreme Values by the Average Conditional Exceedance Rate Method |
| title_short | Estimation of Extreme Values by the Average Conditional Exceedance Rate Method |
| title_sort | estimation of extreme values by the average conditional exceedance rate method |
| url | http://dx.doi.org/10.1155/2013/797014 |
| work_keys_str_mv | AT anaess estimationofextremevaluesbytheaverageconditionalexceedanceratemethod AT ogaidai estimationofextremevaluesbytheaverageconditionalexceedanceratemethod AT okarpa estimationofextremevaluesbytheaverageconditionalexceedanceratemethod |