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On the two step threshold selection for over-threshold modelling

  • Pietro Bernardara
  • , Franck Mazas
  • , Jérôme Weiss
  • , Marc Andreewsky
  • , Xavier Kergadallan
  • , Michel Benoît
  • , Luc Hamm
  • Lamsid/EDF/R and D
  • Université Paris-Est
  • ARTELIA
  • CETMEF

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

In the general framework of over-threshold modelling (OTM) for estimating extreme values of met-ocean variables, such as waves, surges or water levels, the threshold selection logically requires two steps: the physical declustering of time series of the variable in order to obtain samples of independent and identically distributed data then the application of the extreme value theory, which predicts the convergence of the upper part of the sample toward the Generalized Pareto Distribution. These two steps were often merged and confused in the past. A clear framework for distinguishing them is presented here. A review of the methods available in literature to carry out these two steps is given here together with the illustration of two simple and practical examples.

Original languageEnglish
Title of host publicationProceedings of the 33rd International Conference on Coastal Engineering 2012, ICCE 2012
PublisherAmerican Society of Civil Engineers (ASCE)
ISBN (Print)9780989661119
DOIs
Publication statusPublished - 1 Jan 2012
Externally publishedYes
Event33rd International Conference on Coastal Engineering 2012, ICCE 2012 - Santander, Spain
Duration: 1 Jul 20126 Jul 2012

Publication series

NameProceedings of the Coastal Engineering Conference
ISSN (Print)0161-3782

Conference

Conference33rd International Conference on Coastal Engineering 2012, ICCE 2012
Country/TerritorySpain
CitySantander
Period1/07/126/07/12

Keywords

  • Declustering
  • Extreme storm surges
  • Extreme value theorem
  • Extreme waves
  • Peaks-over-threshold

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