A Different Approach for Choosing a Threshold in Peaks over Threshold

  • Andrehette Verster University of the Free State
  • Lizanne Raubenheimer North-West University
Keywords: Extreme Value Index, Jeffreys prior, Peaks over Threshold, Topp-Leone Pareto distribution


In Extreme Value methodology the choice of threshold plays an important role in efficient modelling of observations exceeding the threshold. The threshold must be chosen high enough to ensure an unbiased extreme value index but choosing the threshold too high results in uncontrolled variances. This paper investigates a generalized model that can assist in the choice of optimal threshold values in the γ positive domain. A Bayesian approach is considered by deriving a posterior distribution for the unknown generalized parameter. Using the properties of the posterior distribution allows for a method to choose an optimal threshold without visual inspection.


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How to Cite
Verster, A., & Raubenheimer, L. (2020). A Different Approach for Choosing a Threshold in Peaks over Threshold. Statistics, Optimization & Information Computing, 9(4), 838-848. https://doi.org/10.19139/soic-2310-5070-976
Research Articles