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Markov chain models for threshold exceedances |
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| Authors: | SMITH, RICHARD L. TAWN, JONATHAN A. COLES, STUART G. |
| Affiliation: | Department of Statistics, University of North Carolina Chapel Hill, North Carolina 27599-3260, U.S.A. e-mail: rs{at}stat.unc.edu Department of Mathematics and Statistics, Luncaster University Lancaster, LA1 4 YF, U.K. e-mail: j.tawn{at}lancaster.ac.uk |
| Abstract: | |
| Keywords: | Extreme value theory Generalised Pareto distribution Markov chain Threshold model |
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