Bortot, Paola; Gaetan, Carlo - In: Scandinavian Journal of Statistics 41 (2014) 3, pp. 606-621
type="main" xml:id="sjos12051-abs-0001" <title type="main">ABSTRACT</title>This paper presents a hierarchical approach to modelling extremes of a stationary time series. The procedure comprises two stages. In the first stage, exceedances over a high threshold are modelled through a generalized Pareto distribution, which...