TITLE

Tree-based threshold model for non-stationary extremes

AUTHOR(S)
Ali, N.; Adam, M. B.; Ibrahim, N. A.; Daud, I.
PUB. DATE
May 2012
SOURCE
AIP Conference Proceedings;5/22/2012, Vol. 1450 Issue 1, p159
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Many statistical models exist for the extreme values of univariate sequences of independent and identically distributed random variables. However in most applications, especially in environmental study, the data sets are always non-stationary i.e varying systematically in time or with the values of covariates. The ozone data that is considered in this study is an example of the data described. The standard method for modeling the extremes of a non-stationary process is retaining a constant high threshold but incorporate the covariate models into the generalized Pareto distribution parameters. The problem of using a constant high threshold in a standard method is the selected threshold which is sufficiently large for one covariate maybe quite low for the other covariate. In this paper, we proposed an alternative approach that use regression tree to select the threshold. The advantage of using a regression tree is that the ozone data can be partitioned into the homogeneous clusters based on the similar covariate conditions and the constant high threshold can be apply within the resulted clusters.
ACCESSION #
75526994

 

Related Articles

  • ASYMPTOTIC CONDITIONAL DISTRIBUTION OF EXCEEDANCE COUNTS. Falk, Michael; Tichy, Diana // Advances in Applied Probability;Mar2012, Vol. 44 Issue 1, p270 

    We investigate the asymptotic distribution of the number of exceedances among d identically distributed but not necessarily independent random variables (RVs) above a sequence of increasing thresholds, conditional on the assumption that there is at least one exceedance. Our results enable the...

  • Tail behavior for nonstationary moving averages with random coefficients.  // Journal of Concrete & Applicable Mathematics;Oct2011, Vol. 9 Issue 4, p336 

    No abstract available.

  • The Kumaraswamy Gumbel distribution. Cordeiro, Gauss; Nadarajah, Saralees; Ortega, Edwin // Statistical Methods & Applications;Jun2012, Vol. 21 Issue 2, p139 

    The Gumbel distribution is perhaps the most widely applied statistical distribution for problems in engineering. We propose a generalization-referred to as the Kumaraswamy Gumbel distribution-and provide a comprehensive treatment of its structural properties. We obtain the analytical shapes of...

  • Threshold selection for extremes under a semiparametric model. Gonzalez, Juan; Rodriguez, Daniela; Sued, Mariela // Statistical Methods & Applications;Nov2013, Vol. 22 Issue 4, p481 

    In this work we propose a semiparametric likelihood procedure for the threshold selection for extreme values. This is achieved under a semiparametric model, which assumes there is a threshold above which the excess distribution belongs to the generalized Pareto family. The motivation of our...

  • SEMIPARAMETRIC ESTIMATORS FOR HEAVY TAILED DISTRIBUTIONS.  // Journal of Concrete & Applicable Mathematics;Jan2011 Supplement, p150 

    No abstract available.

  • WINNING RATE IN THE FULL-INFORMATION BEST-CHOICE PROBLEM. Gnedin, Alexander V.; Miretskiy, Denis I. // Journal of Applied Probability;Jun2007, Vol. 44 Issue 2, p560 

    Following a long-standing suggestion by Gilbert and Mosteller, we derive an explicit formula for the asymptotic winning rate in the full-information best-choice problem.

  • 1-Dependent Stationary Sequences for Some Given Joint Distributions of Two Consecutive Random Variables. Haiman, George // Methodology & Computing in Applied Probability;Sep2012, Vol. 14 Issue 3, p445 

    We provide a method to construct a 1-dependent stationary sequence provided some mixing condition on the joint distribution of two consecutive random variables. Two illustrations of computational benefits of the method are given. We obtain analytical formulas to compute the expectation and...

  • ON SIZE-BIASED GEETA DISTRIBUTION. Ahmad Mir, Khurshid; Ahmad, Munir // Pakistan Journal of Statistics;2009, Vol. 25 Issue 3, p309 

    In this paper, a size-biased Geeta distribution (SBGET) is defined. Recurrence relations for central moments and the moments about origin are given. Different estimation methods for the parameters of the model are also discussed. R- Software has been used for making a comparison among the three...

  • Cost Analysis of a System under Priority to Repair and Degradation. Kadyan, M. S.; Malik, S. C.; Kumar, Jitender // International Journal of Statistics & Systems;2010, Vol. 5 Issue 1, p1 

    This paper has been designed with an object to carryout cost analysis of a two unit reliability system in which one is operative and the other unit is kept as cold standby. Repair facility is provided immediately whenever needed. The unit becomes degraded after repair. The server inspects the...

Share

Read the Article

Courtesy of VIRGINIA BEACH PUBLIC LIBRARY AND SYSTEM

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics