Threshold selection is a key aspect in extreme values analysis, especially when the sample size is small. The main idea underpinning this work is that extreme observations are assumed to be outliers of a specified parametric model. We propose a threshold selection method based on outlier detection using a suitable measure of surprise.
Extreme value analysis within a parametric outlier detection framework
CABRAS, STEFANO;
2007
Abstract
Threshold selection is a key aspect in extreme values analysis, especially when the sample size is small. The main idea underpinning this work is that extreme observations are assumed to be outliers of a specified parametric model. We propose a threshold selection method based on outlier detection using a suitable measure of surprise.
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