Comparison between classical annual maxima and peak over threshold approach concerning robustness
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Date
2014-07-22
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Abstract
Partial duration series (peak over threshold) form a considerable alternative to the classical
annual maximum approach since they enlarge the information spectrum. The classical POT
approach is based on a Poisson distribution for the annual number of exceedances although
this is can be questionable in some cases. Therefore two different distributions (Binomial
and Gumbel-Schelling (Gumbel and Schelling (1950)) ) are considered. The results show
that they do rarely make a difference to the Poisson distribution. In a second step we
investigate the robustness in the sense of stability against the occurrence of extreme events
of the POT compared to annual maxima and show that in the case of extreme events the POT
behaves much more robust and fits very good to the data.
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Keywords
partial duration, Poisson process, robustness, annual maxima