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DOI	10.1007/s11069-020-03968-z
	Exceedance rate, exceedance probability, and the duality of GEV and GPD for extreme hazard analysis
	Wang C.-H.; Holmes J.D.
发表日期	2020
ISSN	0921030X
起始页码	1305
结束页码	1321
卷号	102 期号:3
英文摘要	This paper points out that equating the rate of exceedance over threshold to the probability of exceedance in the generalized Pareto distribution, as is often applied in practice, leads to erroneous model parameter estimation, under- or overestimation of hazard, and impairs the duality between the generalized Pareto (GPD) and the generalized extreme-value (GEV) distributions. The problem stems from the fundamental difference in the domain of definition: the rate of exceedance ∈ (0 , ∞) and the probability of exceedance ∈ (0 , 1). The erroneous parameter estimation is a result of practice in model parameter estimation that uses the concept of ‘return period’ (the inverse of exceedance probability) for both the GEV and the GPD. By using the concept of ‘average recurrence interval’ (the inverse of exceedance rate) of extremes in stochastic processes, we illustrate that the erroneous hazard estimation of the GPD is resolved. The use of average recurrence interval along with the duality allows the use of either the GEV or GPD for extreme hazard analysis, regardless of whether the data are collected via block maxima or peaks over a threshold. Some recommendations with regard to the practice of distribution parameter estimation are given. We demonstrate the duality of the two distributions and the impact of using average recurrence interval instead of return period by analysis of wind gust data collected by an automatic weather station at Woomera, South Australia, Australia. © 2020, Springer Nature B.V.
关键词	Extreme event Regression analysis Reliability Return period Risk Statistics of extremes
英文关键词	gust; hazard assessment; parameter estimation; probability; return period; weather station; Australia; South Australia; Woomera
语种	英语
来源期刊	Natural Hazards
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/205981
作者单位	Energy, CSIRO, Private Bag 10, Clayton South, VIC 3169, Australia; JDH Consulting, 6 Charman Road, Mentone, VIC 3194, Australia
推荐引用方式 GB/T 7714	Wang C.-H.,Holmes J.D.. Exceedance rate, exceedance probability, and the duality of GEV and GPD for extreme hazard analysis[J],2020,102(3).
APA	Wang C.-H.,&Holmes J.D..(2020).Exceedance rate, exceedance probability, and the duality of GEV and GPD for extreme hazard analysis.Natural Hazards,102(3).
MLA	Wang C.-H.,et al."Exceedance rate, exceedance probability, and the duality of GEV and GPD for extreme hazard analysis".Natural Hazards 102.3(2020).