Uncertainties in partial duration series modelling of extremes related to the choice of the threshold value

Abstract

Partial duration series modelling is a robust tool with which to model hydrologic extremes, but because of several technical problems it remains underused. The most important obstacle is the choice of the threshold value, a matter that is currently under investigation by several authors. The truncation value affects the basic assumptions of the model, including arrival times and exceedance magnitudes. This paper considers changes in parameter and quantile estimates as a function of the threshold value (sampling variability). Simulated and real data were used to test the consistency of the model, and a new modelling procedure based on increasing threshold censoring is proposed to overcome these problems. Poisson arrivals and Generalised Pareto exceedances were assumed, and the suitability of this model at different threshold values has been also addressed.