Spatial hierarchical modeling of threshold exceedances using rate mixtures.

@article{Yadav2019SpatialHM,
  title={Spatial hierarchical modeling of threshold exceedances using rate mixtures.},
  author={Rishikesh Yadav and Raphael Huser and T. Opitz},
  journal={arXiv: Methodology},
  year={2019}
}
We develop new flexible univariate models for light-tailed and heavy-tailed data, which extend a hierarchical representation of the generalized Pareto (GP) limit for threshold exceedances. These models can accommodate departure from asymptotic threshold stability in finite samples while keeping the asymptotic GP distribution as a special (or boundary) case and can capture the tails and the bulk jointly without losing much flexibility. Spatial dependence is modeled through a latent process… Expand

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