Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions

oleh: Dylan Glotzer, Vladas Pipiras, Vadim Belenky, Bradley Campbell, Timothy Smith

Format: Article
Diterbitkan: Instituto Nacional de Estatística | Statistics Portugal 2017-10-01

Deskripsi

Statistical inference of a probability of exceeding a large critical value is studied in the peaks-over-threshold (POT) approach. The focus is on assessing the performance of the various confidence intervals for the exceedance probability, both for the generalized Pareto distribution used above a selected threshold and in the POT setting for general distributions. The developed confidence intervals perform well in an application to extreme ship motion data. Finally, several approaches to uncertainty reduction are also considered.