Abstract:Models for extreme values accommodating non-stationarity have been amply studied and evaluated from a parametric perspective. Whilst these models are flexible, in the sense that many parametrizations can be explored, they assume an asymptotic distribution as the proper fit to observations from the tail. This paper provides a holistic approach to the modelling of nonstationary extreme events by iterating between parametric and semi-parametric approaches, thus providing an automatic procedure to estimate a movin… Show more
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