ruth@utstat.UUCP (10/04/87)
TOPIC: MODEL CHOICE AND EXTREMES SPEAKER: Martin A.J. van Moutfort Dept. of Mathematics, Wageningen Agricultural Univ. DATE: October 9, 1987, 1:00 P.M. PLACE: Sidney Smith Hall, Room 1086 ABSTRACT: Safety is connected with probabilities on extreme events (e.g. dyke height and maximal height of the sea level). Theory supports a Generalized Extrema Value (GEV) distribution for extremes with a location (mu), scale (sigma) and shape (theta) parameter, where the shape parameter heavily influences the tail behavior. The well known and frequently used Gumbel distribution is a special case of GEV: theta = 0. Inference on the distribution of extremes can be based on extremes, or on the number and sizes of exceedances over a threshold (POT: peaks over threshold). Modelling POT-data by a Poisson number of exceedances with Exponentially distributed sizes gives rise to a Gumbel distribution for the maximum; replacing the Exponential distribution by the Generalized Pareto distribution (GPD) results in a GEV for the maximum. Evidence for GEV can be based on extremes or on POT-data. The performance of some quick tests for GEV versus Gumbel and for GPD versus Exponential is discussed. Attention is also paid to the problem of lack of fit in the one tail when the attention has to be focussed on the other tail.