Measures of Surprise and Threshold Selection in Extreme Value Statistics

Irene Vicari
2010
Student project

Measures of surprise have been recently studied in statistics. This new concept can be used as the first exploratory tool to verify if a model under the null hypothesis fits appropriately. As no alternative models are necessary, the use of the measures of surprise is considered very simple. At the same time, this new alternative to test the goodness of a model cannot replace the full Bayesian analysis. The aim of this project is threshold selection for threshold models. The estimate of the threshold could be investigated by using the measures of surprise. The reason is that no alternative models are specified for non-extreme data, for which the distribution in extreme value theory is unknown, and thus the surprise would be a credible tool.

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Irene Vicari
2010
Student project

Abstract

Official source

https://infoscience.epfl.ch/record/168213?ln=en

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Related concepts (6)

Threshold model

In mathematical or statistical modeling a threshold model is any model where a threshold value, or set of threshold values, is used to distinguish ranges of values where the behaviour predicted by the model varies in some important way. A particularly important instance arises in toxicology, where the model for the effect of a drug may be that there is zero effect for a dose below a critical or threshold value, while an effect of some significance exists above that value. Certain types of regression model may include threshold effects.

Extreme poverty

Extreme poverty is the most severe type of poverty, defined by the United Nations (UN) as "a condition characterized by severe deprivation of basic human needs, including food, safe drinking water, sanitation facilities, health, shelter, education and information. It depends not only on income but also on access to services". Historically, other definitions have been proposed within the United Nations. In 2018, extreme poverty mainly refers to an income below the international poverty line of $1.

Null hypothesis

In scientific research, the null hypothesis (often denoted H0) is the claim that no relationship exists between two sets of data or variables being analyzed. The null hypothesis is that any experimentally observed difference is due to chance alone, and an underlying causative relationship does not exist, hence the term "null". In addition to the null hypothesis, an alternative hypothesis is also developed, which claims that a relationship does exist between two variables.