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: | , , |
|---|---|
| Formato: | Artigo |
| Idioma: | English |
| Publicado em: |
Academy of Sciences Malaysia
2019
|
| Acesso em linha: | http://psasir.upm.edu.my/id/eprint/81045/1/PARETO.pdf |