Title: Extreme value modelling using the peaks over threshold method, an inverse cumulative uniform distribution approach

Authors: Justin Chirima

Addresses: Department of Mathematics and Computer Science, Great Zimbabwe University, P.O. Box 1235, Masvingo, Zimbabwe

Abstract: This paper proposes an inverse continuous uniform distribution approach for selecting the threshold when performing the peaks over threshold (POT) method to data with outliers. Applying results from the mean residual life plot (MRLP) and the threshold stability plot (TSP), the threshold is assumed to follow a continuous uniform distribution between values a and b. An inverse uniform distribution algorithm for threshold selection is developed and applied to hypothetical data and Zimbabwean precipitation data. The proposed method is capable of determining optimal thresholds which give reasonable fits for historical data.

Keywords: uniform distribution; threshold; generalised Pareto distribution; GPD; peaks over threshold; POT.

DOI: 10.1504/IJHST.2024.140858

International Journal of Hydrology Science and Technology, 2024 Vol.18 No.3, pp.331 - 349

Received: 26 Sep 2022
Accepted: 08 Jul 2023
Published online: 03 Sep 2024 *

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