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Peaks O ver T hreshold ( POT ): A methodology for automatic threshold estimation using goodness of fit p ‐value
Author(s) -
Solari Sebastián,
Egüen Marta,
Polo María José,
Losada Miguel A.
Publication year - 2017
Publication title -
water resources research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.863
H-Index - 217
eISSN - 1944-7973
pISSN - 0043-1397
DOI - 10.1002/2016wr019426
Subject(s) - quantile , statistics , goodness of fit , bootstrapping (finance) , confidence interval , robustness (evolution) , threshold limit value , series (stratigraphy) , mathematics , estimation , statistic , econometrics , engineering , medicine , paleontology , biochemistry , chemistry , environmental health , systems engineering , biology , gene
Threshold estimation in the Peaks Over Threshold (POT) method and the impact of the estimation method on the calculation of high return period quantiles and their uncertainty (or confidence intervals) are issues that are still unresolved. In the past, methods based on goodness of fit tests and EDF‐statistics have yielded satisfactory results, but their use has not yet been systematized. This paper proposes a methodology for automatic threshold estimation, based on the Anderson‐Darling EDF‐statistic and goodness of fit test. When combined with bootstrapping techniques, this methodology can be used to quantify both the uncertainty of threshold estimation and its impact on the uncertainty of high return period quantiles. This methodology was applied to several simulated series and to four precipitation/river flow data series. The results obtained confirmed its robustness. For the measured series, the estimated thresholds corresponded to those obtained by nonautomatic methods. Moreover, even though the uncertainty of the threshold estimation was high, this did not have a significant effect on the width of the confidence intervals of high return period quantiles.