thselect.samsee

Smooth asymptotic mean squared error estimator
of Schneider et al. (2021) for threshold selection.
The implementation uses a second-order regular variation index of -1

Various tools for the analysis of univariate, multivariate and functional extremes. Exact simulation from max-stable processes (Dombry, Engelke and Oesting, 2016, <doi:10.1093/biomet/asw008>, R-Pareto processes for various parametric models, including Brown-Resnick (Wadsworth and Tawn, 2014, <doi:10.1093/biomet/ast042>) and Extremal Student (Thibaud and Opitz, 2015, <doi:10.1093/biomet/asv045>). Threshold selection methods, including Wadsworth (2016) <doi:10.1080/00401706.2014.998345>, and Northrop and Coleman (2014) <doi:10.1007/s10687-014-0183-z>. Multivariate extreme diagnostics. Estimation and likelihoods for univariate extremes, e.g., Coles (2001) <doi:10.1007/978-1-4471-3675-0>.

Leo Belzile

Modelling of Extreme Values

Jennifer L. Wadsworth

Paul J. Northrop

Raphael Huser

Scott D. Grimshaw

Jin Zhang

Michael A. Stephens

Art B. Owen

thselect.samsee function

<dl><dt>xdat</dt>
<dd>vector of positive exceedances</dd></dl>

Arguments

Threshold selection via SAMSEE — thselect.samsee

<dl>

<dt>xdat</dt>
<dd>vector of positive exceedances</dd>

</dl>

thselect.samsee: Threshold selection via SAMSEE

Description

Usage

Value

Arguments

References