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http://dx.doi.org/10.3741/JKWRA.2008.41.5.527

Comparison of Methods of Selecting the Threshold of Partial Duration Series for GPD Model  

Um, Myoung-Jin (Dept. of Civil Eng., Yonsei Univ.)
Cho, Won-Cheol (School of Civil and Environmental Eng., Yonsei Univ.)
Heo, Jun-Haeng (School of Civil and Environmental Eng., Yonsei Univ.)
Publication Information
Journal of Korea Water Resources Association / v.41, no.5, 2008 , pp. 527-544 More about this Journal
Abstract
Generalized Pareto distribution (GPD) is frequently applied in hydrologic extreme value analysis. The main objective of statistics of extremes is the prediction of rare events, and the primary problem has been the estimation of the threshold and the exceedances which were difficult without an accurate method of calculation. In this paper, to obtain the threshold or the exceedances, four methods were considered. For this comparison a GPD model was used to estimate parameters and quantiles for the seven durations (1, 2, 3, 6, 12, 18 and 24 hours) and the ten return periods (2, 3, 5, 10, 20, 30, 50, 70, 80 and 100 years). The parameters and quantiles of the three-parameter generalized Pareto distribution were estimated with three methods (MOM, ML and PWM). To estimate the degree of fit, three methods (K-S, CVM and A-D test) were performed and the relative root mean squared error (RRMSE) was calculated for a Monte Carlo generated sample. Then the performance of these methods were compared with the objective of identifying the best method from their number.
Keywords
Generalized Pareto distribution; Threshold;
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