Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions

Authors

  • Dylan Glotzer University of North Carolina at Chapel Hill
  • Vladas Pipiras University of North Carolina at Chapel Hill
  • Vadim Belenky Naval Surface Warfare Center Carderock Division
  • Bradley Campbell Naval Surface Warfare Center Carderock Division
  • Timothy Smith Naval Surface Warfare Center Carderock Division

DOI:

https://doi.org/10.57805/revstat.v15i4.226

Keywords:

exceedance probability, quantiles, confidence intervals, peaks over threshold, generalized Pareto distribution, threshold selection

Abstract

Statistical inference of a probability of exceeding a large critical value is studied in the peaks-over-threshold (POT) approach. The focus is on assessing the performance of the various confidence intervals for the exceedance probability, both for the generalized Pareto distribution used above a selected threshold and in the POT setting for general distributions. The developed confidence intervals perform well in an application to extreme ship motion data. Finally, several approaches to uncertainty reduction are also considered.

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Published

2017-10-13

How to Cite

Glotzer, D., Pipiras , V., Belenky, V., Campbell, B., & Smith , T. (2017). Confidence Intervals for Exceedance Probabilities with Application Tto Extreme Ship Motions. REVSTAT-Statistical Journal, 15(4), 537–563. https://doi.org/10.57805/revstat.v15i4.226

Issue

Vol. 15 No. 4 (2017): REVSTAT-Statistical Journal

Section

Article

License

Copyright (c) 2017 REVSTAT-Statistical Journal

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.