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Models for exceedances over high thresholds. (English) Zbl 0706.62039
Summary: We discuss the analysis of the extremes of data by modelling the sizes and occurrence of exceedances over high thresholds. The natural distribution for such exceedances, the generalized Pareto distribution, is described and its properties elucidated. Estimation and model-checking procedures for univariate and regression data are developed, and the influence of and information contained in the most extreme observations in a sample are studied. Models for seasonality and serial dependence in the point process of exceedances are described. Sets of data on river flows and wave heights are discussed, and an application to the siting of nuclear installations is described.

MSC:
62F99 Parametric inference
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
Software:
GLIM
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