Eastoe, Emma F.; Tawn, Jonathan A. - In: Journal of the Royal Statistical Society Series C 58 (2009) 1, pp. 25-45
Statistical methods for modelling extremes of stationary sequences have received much attention. The most common method is to model the rate and size of exceedances of some high constant threshold; the size of exceedances is modelled by using a generalized Pareto distribution. Frequently, data...