Cross-validatory extreme value threshold selection and uncertainty with application to offshore engineering
Title: Cross-validatory extreme value threshold selection and uncertainty with application to offshore engineering
Speaker: Dr Paul Northrop, Department of Statistical Science, University College, London.
Date: Thursday, 24th September 2015
Time: 4pm – 5pm
Location: Room E0.01, Science East
Abstract:
Abstract. Designs conditions for marine structures are informed by threshold-based extreme value analyses of oceanographic variables, in which excesses of a high threshold are modelled by a generalized Pareto (GP) distribution. Too low a threshold leads to bias from model mis-specification; raising the threshold increases the variance of estimators: a bias-variance trade-off. Many existing threshold selection methods do not address this trade-off directly, but rather aim to select the lowest threshold above which the GP model is judged to hold approximately. We use Bayesian cross-validation to address the trade-off by comparing thresholds based on predictive ability at extreme levels. Extremal inferences can be sensitive to the choice of a single threshold. We use Bayesian model averaging to combine inferences from many thresholds, thereby reducing sensitivity to the choice of a single threshold. The methodology is illustrated using significant wave height datasets from the North Sea and from the Gulf of Mexico.
Series: Statistics
Social Media Links