DETERMINING THE EXTREMES OF PRECIPITATION VOLUMES BASED ON THE MODIFIED "PEAKS OVER THRESHOLD" METHOD

Author(s):  
A. Naess ◽  
P. H. Clausen

The paper discusses the accuracy and efficiency of some of the standard estimators used in conjunction with the Peaks-Over-Threshold (POT) method. A comparison is made between some commonly adopted estimators and two types of estimators proposed by the authors. The comparison is based on an extensive set of synthetic data simulated from a range of different statistical distribution functions that have been assumed to describe wind speed processes.


2015 ◽  
Vol 60 (206) ◽  
pp. 87-116 ◽  
Author(s):  
Julija Cerovic ◽  
Vesna Karadzic

The concept of Value at Risk(VaR) estimates the maximum loss of a financial position at a given time for a given probability. This paper considers the adequacy of the methods that are the basis of extreme value theory in the Montenegrin emerging market before and during the global financial crisis. In particular, the purpose of the paper is to investigate whether the peaks-over-threshold method outperforms the block maxima method in evaluation of Value at Risk in emerging stock markets such as the Montenegrin market. The daily return of the Montenegrin stock market index MONEX20 is analyzed for the period January 2004 - February 2014. Results of the Kupiec test show that the peaks-over-threshold method is significantly better than the block maxima method, but both methods fail to pass the Christoffersen independence test and joint test due to the lack of accuracy in exception clustering when measuring Value at Risk. Although better, the peaks-over-threshold method still cannot be treated as an accurate VaR model for the Montenegrin frontier stock market.


2007 ◽  
Vol 10 (06) ◽  
pp. 1043-1075 ◽  
Author(s):  
CARLO MARINELLI ◽  
STEFANO D'ADDONA ◽  
SVETLOZAR T. RACHEV

We compare in a backtesting study the performance of univariate models for Value-at-Risk (VaR) and expected shortfall based on stable laws and on extreme value theory (EVT). Analyzing these different approaches, we test whether the sum–stability assumption or the max–stability assumption, that respectively imply α–stable laws and Generalized Extreme Value (GEV) distributions, is more suitable for risk management based on VaR and expected shortfall. Our numerical results indicate that α–stable models tend to outperform pure EVT-based methods (especially those obtained by the so-called block maxima method) in the estimation of Value-at-Risk, while a peaks-over-threshold method turns out to be preferable for the estimation of expected shortfall. We also find empirical evidence that some simple semiparametric EVT-based methods perform well in the estimation of VaR.


2017 ◽  
Vol 17 (1) ◽  
pp. 91-107 ◽  
Author(s):  
Marc Rébillat ◽  
Ouadie Hmad ◽  
Farid Kadri ◽  
Nazih Mechbal

Structural health monitoring offers new approaches to interrogate the integrity of complex structures. The structural health monitoring process classically relies on four sequential steps: damage detection, localization, classification, and quantification. The most critical step of such process is the damage detection step since it is the first one and because performances of the following steps depend on it. A common method to design such a detector consists of relying on a statistical characterization of the damage indexes available in the healthy behavior of the structure. On the basis of this information, a decision threshold can then be computed in order to achieve a desired probability of false alarm. To determine the decision threshold corresponding to such desired probability of false alarm, the approach considered here is based on a model of the tail of the damage indexes distribution built using the Peaks Over Threshold method extracted from the extreme value theory. This approach of tail distribution estimation is interesting since it is not necessary to know the whole distribution of the damage indexes to develop a detector, but only its tail. This methodology is applied here in the context of a composite aircraft nacelle (where desired probability of false alarm is typically between 10−4 and 10−9) for different configurations of learning sample size and probability of false alarm and is compared to a more classical one which consists of modeling the entire damage indexes distribution by means of Parzen windows. Results show that given a set of data in the healthy state, the effective probability of false alarm obtained using the Peaks Over Threshold method is closer to the desired probability of false alarm than the one obtained using the Parzen-window method, which appears to be more conservative.


1998 ◽  
Vol 120 (3) ◽  
pp. 165-176 ◽  
Author(s):  
J. A. Ferreira ◽  
C. Guedes Soares

The paper describes an application of the Peaks Over Threshold (POT) method to significant wave height data of Figueira da Foz, Portugal. The method is briefly explained and justified. The exponential distribution is shown to be adequate for modeling the peaks of clustered excesses over a threshold of 6 m. Estimates of return values are given. The exponential character of the data is theoretically justified in the Appendix.


2021 ◽  
Vol 35 (3) ◽  
pp. 933-948
Author(s):  
Jiqing Li ◽  
Jing Huang ◽  
Xuefeng Chu ◽  
Jay R. Lund

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