%0 Journal Article %1 Davison.Smith1990 %A Davison, A. C. %A Smith, R. L. %D 1990 %I Blackwell Publishing for the Royal Statistical Society %J Journal of the Royal Statistical Society. B %K GPD %N 3 %P 393--442 %T Models for Exceedances over High Thresholds %U http://www.jstor.org/stable/2345667 %V 52 %X 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.

@article{Davison.Smith1990, abstract = {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.}, added-at = {2010-11-23T14:05:21.000+0100}, articletype = {research-article}, author = {Davison, A. C. and Smith, R. L.}, biburl = {https://www.bibsonomy.org/bibtex/2642572601593b41de529ab72bf6acdd0/marsianus}, copyright = {Copyright © 1990 Royal Statistical Society}, formatteddate = {1990}, interhash = {02aec46060f86ccfcaf2183d3ec71bcc}, intrahash = {642572601593b41de529ab72bf6acdd0}, issn = {00359246}, journal = {Journal of the Royal Statistical Society. B}, keywords = {GPD}, number = 3, pages = {393--442}, publisher = {Blackwell Publishing for the Royal Statistical Society}, timestamp = {2014-10-30T14:31:09.000+0100}, title = {Models for Exceedances over High Thresholds}, url = {http://www.jstor.org/stable/2345667}, volume = 52, year = 1990 }