- Author
- Lechner, J. A. | Heckert, N. A. | Simiu, E.
- Title
- Assessment of Recent Methods for Estimating Extreme Value Distribution Tails.
- Coporate
- National Institute of Standards and Technology, Gaithersburg, MD
- Sponsor
- National Science Foundation, Washington, DC
- Contract
- NSF-MSM-9013116
- Book or Conf
- ICOSSAR'93 Proceedings. Structural Safety and Reliability, 6th International Conference. August 9-13, 1993, A.A. Balkema, Rotterdam, Innsbruck, Austria, Schueller, G. I.; Shinozuka, M.; Yao, J.T. P., Editors, 1663-1668 p., 1993
- Keywords
- threshold modeling | equations | simulation
- Identifiers
- description of estimation methods; percentage point estimation; Monte Carlo simulations and results
- Abstract
- In the past twenty years a vast new body of extreme value theory has been developed, referred to as 'peaks over threshold modeling.' This theory allows the use in the analysis of all data exceeding a sufficiently high threshold, a feature that may result in improved extreme value estimates. The application of the theory depends upon the performance of methods for estimating the distribution parameters corresponding to any given set of extreme data. We present a comparative assessment of the performance of three such methods. According to our Monte Carlo simulation results the de Haan method is the best for applications in which the percent estimation errors are comparable to those typical in wind engineering.