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Exceedance Over Threshold

Extremes and Environmental Risk

  1. Holger Drees

Published Online: 15 JAN 2013

DOI: 10.1002/9780470057339.vae052.pub2

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

Drees, H. 2013. Exceedance Over Threshold . Encyclopedia of Environmetrics. 2.

Author Information

  1. University of Hamburg, Hamburg, Germany

Publication History

  1. Published Online: 15 JAN 2013

Abstract

We consider methods from extreme value statistics to fit threshold models to univariate or multivariate samples. Moreover, the influence of serial dependence between observations on the estimation accuracy and on quantities of interest, such as return levels, is discussed.

Keywords:

  • asymptotic independence;
  • exponent measure;
  • extremal index;
  • extreme quantiles;
  • extreme value index;
  • failure probability;
  • generalized Pareto distribution;
  • spectral measure;
  • stable tail dependence function;
  • time series