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Novel Extreme Value Estimation Procedures: Application to Extreme Wind Data

In: Extreme Value Theory and Applications

Author

Listed:
  • John Gross

    (National Institute of Standards and Technology, Building and Fire Research Laboratory)

  • Alan Heckert

    (National Institute of Standards and Technology, Computing and Applied Mathematics Laboratory)

  • James Lechner

    (National Institute of Standards and Technology, Computing and Applied Mathematics Laboratory)

  • Emil Simiu

    (National Institute of Standards and Technology, Building and Fire Research Laboratory)

Abstract

The past two decades have seen the development of a large body of extreme value theory based on the application of the Generalized Pareto Distribution (GPD) to the excess of the extreme variate over a fixed threshold. For sufficiently large values of the extreme variates, the GPD with tail length parameters c > 0 and c

Suggested Citation

  • John Gross & Alan Heckert & James Lechner & Emil Simiu, 1994. "Novel Extreme Value Estimation Procedures: Application to Extreme Wind Data," Springer Books, in: Janos Galambos & James Lechner & Emil Simiu (ed.), Extreme Value Theory and Applications, pages 139-158, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4613-3638-9_8
    DOI: 10.1007/978-1-4613-3638-9_8
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