[PDF][PDF] Covariate-Varying Threshold Selection Method in Non-Stationary Generalized Pareto Model
A Shihabuddin, N Ali, MB Adam - akademisains.gov.my
Non-stationary data usually exist in real life and influenced by covariates. The non-stationary
extremes are usually modelled by setting a constant high threshold, u, where the threshold …
extremes are usually modelled by setting a constant high threshold, u, where the threshold …