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A New Model of Peaks over Threshold for Multivariate Extremes
Abstract:The peaks over threshold(POT) methods are used for the univariate and multivariate extreme value analyses of the wave and wind records collected from a hydrometric station in the South China Sea. A new multivariate POT method: Multivariate GPD(MGPD) model is proposed, which can be built easily according to developed parametric models and is a natural distribution of multivariate POT methods. A joint threshold selection approach is used in the MGPD model well. Finally, sensitivity analyses are carried out to calculate the return values of the base shear, and two declustering schemes are compared in this study.
Keywords:POT  MGPD  declustering  multivariate extremes
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