An Introduction to Statistical Modeling of Extreme Values¶
Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer.
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Mechanisms¶
- Tail and Boundary Stress Scenario
- Plausible tail extrapolation is anchored by extreme value theory, which describes the limiting behavior of maxima and threshold exceedances and lets a stress be expressed as a defensible return period rather than an arbitrary shock.
This sourceUses extreme-value models for maxima and threshold exceedances to extrapolate rare events and express stresses through return levels and return periods.
- Plausible tail extrapolation is anchored by extreme value theory, which describes the limiting behavior of maxima and threshold exceedances and lets a stress be expressed as a defensible return period rather than an arbitrary shock.
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