Covariate-varying threshold selection method in non-stationary generalized pareto model
Non-stationary data usually exist in real life and influenced by covariates. The non-stationary extremes are usually modelled by setting a constant high threshold, u, where the threshold exceedances are modelled by Generalized Pareto distribution (GP). Covariates model is incorporated to the GP par...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academy of Sciences Malaysia
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/81045/1/PARETO.pdf |