A Different Way of Choosing a Threshold in a Bivariate Extreme Value Study

  • Andrehette Verster University of the Free State, South Africa
  • Nicholas Kwaramba University of the Free State, South Africa
DOI: https://doi.org/10.19139/soic-2310-5070-1318
Keywords: Bayesian approach, bivariate extreme values, dependence parameter, threshold, Topp-Leone Pareto

Abstract

The choice of optimum threshold in Extreme Value Theory, peaks over threshold, has been a topic of discussionfor decades. A threshold must be chosen high enough to control the bias of the extreme value index. On the other hand, if a threshold is chosen too high the variance becomes a problem. This is a very difficult trade-off and has been studied over the years from various viewpoints. More often these studies aim at methods for choosing the threshold in univariate settings. Not as many literature are available for choosing the threshold in a multivariate setting. In this paper we consider an approach for choosing the threshold when working with bivariate extreme values above a threshold. This approach makes use of Bayesian methodology. It adds value to the existing literature since it is also possible to use this approach without visual inspection.

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Published
2021-12-15
How to Cite
Verster, A., & Kwaramba, N. (2021). A Different Way of Choosing a Threshold in a Bivariate Extreme Value Study. Statistics, Optimization & Information Computing, 10(2), 505-518. https://doi.org/10.19139/soic-2310-5070-1318
Issue
Vol 10 No 2 (2022)
Section
Research Articles
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