Extremes and Environmental Risk
Published Online: 15 JAN 2013
Copyright © 2002 John Wiley & Sons, Ltd
Encyclopedia of Environmetrics
How to Cite
Drees, H. 2013. Threshold Models . Encyclopedia of Environmetrics. 6.
- Published Online: 15 JAN 2013
Models for exceedances over high thresholds are motivated by limit theorems from extreme value theory. For univariate observations this approach leads to generalized Pareto models. In contrast, natural models for the dependence of vectors of exceedances are infinite dimensional.
- asymptotic independence;
- excess distributions;
- extreme value theory;
- generalized Pareto distribution;
- spectral measure;
- tail dependence