Extreme value modelling using the peaks over threshold method, an inverse cumulative uniform distribution approach

This paper proposes an inverse continuous uniform distribution approach for selecting the threshold when performing the peaks over threshold (POT) method to data with outliers. Applying results from the mean residual life plot (MRLP) and the threshold stability plot (TSP), the threshold is assumed to follow a continuous uniform distribution between values a and b. An inverse uniform distribution algorithm for threshold selection is developed and applied to hypothetical data and Zimbabwean precipitation data. The proposed method is capable of determining optimal thresholds which give reasonable fits for historical data.