Models for exceedances over high thresholdsAC Davison, RL Smith - Journal of the Royal Statistical Society. Series B ( …, 1990 - JSTOR
SUMMARY We discuss the analysis of the extremes of data by modelling the sizes and occurrence
of exceedances over high thresholds. The natural distribution for such exceedances, the generalized
Pareto distribution, is described and its properties elucidated. Estimation and model- ...
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