ON THE TWO STEP THRESHOLD SELECTION FOR OVER-THRESHOLD MODELLING

Proceedings of the International Conference on Coastal Engineering

Franck Mazas³  Marc Andreewsky²  Jérôme Weiss⁴  Xavier Kergadallan¹  Luc Hamm³  Michel Benoît⁴  Pietro Bernardara⁴ 

[1] CETMEF;EDF LNHE;ARTELIA Maritime;EDF LNHE, LHSV

关键词: POT;    threshold;    extremes;    physical declustering;    statistical optimization;   

DOI  :  10.9753/icce.v33.management.42

学科分类：建筑学

来源: Coastal Engineering Research Council

【 摘 要 】

In the general framework of over-threshold modelling (OTM) for estimating extreme values of met-ocean variables, such as waves, surges or water levels, the threshold selection logically requires two steps: the physical declustering of time series of the variable in order to obtain samples of independent and identically distributed data then the application of the extreme value theory, which predicts the convergence of the upper part of the sample toward the Generalized Pareto Distribution. These two steps were often merged and confused in the past. A clear framework for distinguishing them is presented here. A review of the methods available in literature to carry out these two steps is given here together with the illustration of two simple and practical examples.

【 授权许可】

Unknown