Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions
Statistical inference of a probability of exceeding a large critical value is studied in the peaks-over-threshold (POT) approach. The focus is on assessing the performance of the various confidence intervals for the exceedance probability, both for the generalized Pareto distribution used above a s...
| Published in: | Revstat Statistical Journal |
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| Main Authors: | , , , , |
| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2017-10-01
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| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/226 |
| _version_ | 1852751512673976320 |
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| author | Dylan Glotzer Vladas Pipiras Vadim Belenky Bradley Campbell Timothy Smith |
| author_facet | Dylan Glotzer Vladas Pipiras Vadim Belenky Bradley Campbell Timothy Smith |
| author_sort | Dylan Glotzer |
| collection | DOAJ |
| container_title | Revstat Statistical Journal |
| description |
Statistical inference of a probability of exceeding a large critical value is studied in the peaks-over-threshold (POT) approach. The focus is on assessing the performance of the various confidence intervals for the exceedance probability, both for the generalized Pareto distribution used above a selected threshold and in the POT setting for general distributions. The developed confidence intervals perform well in an application to extreme ship motion data. Finally, several approaches to uncertainty reduction are also considered.
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| format | Article |
| id | doaj-art-e53d7bb1ce904ef4b4e68e6e34932692 |
| institution | Directory of Open Access Journals |
| issn | 1645-6726 2183-0371 |
| language | English |
| publishDate | 2017-10-01 |
| publisher | Instituto Nacional de Estatística | Statistics Portugal |
| record_format | Article |
| spelling | doaj-art-e53d7bb1ce904ef4b4e68e6e349326922025-08-19T20:59:53ZengInstituto Nacional de Estatística | Statistics PortugalRevstat Statistical Journal1645-67262183-03712017-10-0115410.57805/revstat.v15i4.226Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship MotionsDylan Glotzer0Vladas Pipiras 1Vadim Belenky2Bradley Campbell3Timothy Smith 4University of North Carolina at Chapel HillUniversity of North Carolina at Chapel HillNaval Surface Warfare Center Carderock DivisionNaval Surface Warfare Center Carderock DivisionNaval Surface Warfare Center Carderock Division Statistical inference of a probability of exceeding a large critical value is studied in the peaks-over-threshold (POT) approach. The focus is on assessing the performance of the various confidence intervals for the exceedance probability, both for the generalized Pareto distribution used above a selected threshold and in the POT setting for general distributions. The developed confidence intervals perform well in an application to extreme ship motion data. Finally, several approaches to uncertainty reduction are also considered. https://revstat.ine.pt/index.php/REVSTAT/article/view/226exceedance probabilityquantilesconfidence intervalspeaks over thresholdgeneralized Pareto distributionthreshold selection |
| spellingShingle | Dylan Glotzer Vladas Pipiras Vadim Belenky Bradley Campbell Timothy Smith Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions exceedance probability quantiles confidence intervals peaks over threshold generalized Pareto distribution threshold selection |
| title | Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions |
| title_full | Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions |
| title_fullStr | Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions |
| title_full_unstemmed | Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions |
| title_short | Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions |
| title_sort | confidence intervals for exceedance probabilities with application tto extreme ship motions |
| topic | exceedance probability quantiles confidence intervals peaks over threshold generalized Pareto distribution threshold selection |
| url | https://revstat.ine.pt/index.php/REVSTAT/article/view/226 |
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