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Threshold methods for sample extremes. (English) Zbl 0574.62090
Statistical extremes and applications, Proc. NATO Adv. Study Inst., Vimeiro/Port. 1983, NATO ASI Ser., Ser. C 131, 621-638 (1984).
[For the entire collection see Zbl 0542.00013.]
The author presents a general technique of extreme value analysis of time series. The problem consists in the modelling of the extreme characteristics of a series in terms of its exceedances over a high threshold level.
The author’s model is based on (a) modelling the exceedance times as a point process and (b) using the generalised Pareto distribution for the exceedance values. This approach combines some of the main features of the peaks over threshold and extreme order statistics methods.
The author also gives an application of this technique to an analysis of wave heights off the coast of Britain and he proposes some areas for further investigation.
Reviewer: W.Dziubdziela

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G30 Order statistics; empirical distribution functions