Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: L-moments for automatic threshold selection in extreme value analysis   In extreme value analysis, sensitivity of inference to the definition of
extreme event is a paramount issue. Under the peaks-over-threshold (POT)
approach, this translates directly into the need of fitting a Generalized
Pareto distribution to observations above a suitable level that balances bias
versus variance of estimates. Selection methodologies established in the
literature face recurrent challenges such as an inherent subjectivity or high
computational intensity. We suggest a truly automated method for threshold
detection, aiming at time efficiency and elimination of subjective judgment.
Based on the well-established theory of L-moments, this versatile data-driven
technique can handle batch processing of large collections of extremes data,
while also presenting good performance on small samples.
  The technique's performance is evaluated in a large simulation study and
illustrated with significant wave height data sets from the literature. We find
that it compares favorably to other state-of-the-art methods regarding the
choice of threshold, associated parameter estimation and the ultimate goal of
computationally efficient return level estimation.

22
The categories of this paper are: chao-dyn
15
The categories of this paper are: nucl-ex
37
The categories of this paper are: supr-con
24
The categories of this paper are: dg-ga
26
The categories of this paper are: bayes-an
4
The categories of this paper are: cond-mat
18
The categories of this paper are: econ
7
The categories of this paper are: hep-th
9
The categories of this paper are: nlin
14
The categories of this paper are: math-ph
0
The categories of this paper are: hep-ph
35
The categories of this paper are: mtrl-th
17
The categories of this paper are: q-fin
29
The categories of this paper are: funct-an
32
The categories of this paper are: atom-ph
13
The categories of this paper are: quant-ph