2 papers
stat.ME2026
Choosing the threshold in extreme value analysis
Léo R. Belzile, Anthony C. Davison
One of the two dominant approaches for univariate extreme value analysis is to model exceedances above a large threshold, the choice of which has a large impact on inference and wh…
stat.ME2026
How long should a block be?
Léo R. Belzile, Anthony C. Davison
The block maximum method, which is widely used in extreme value analysis, uses a generalized extreme value distribution to approximate that of the maximum of m observations. The qu…