Conditional heavy-tail behavior with applications to precipitation and river flow extremes
| dc.contributor.author | Kinsvater, Paul | |
| dc.contributor.author | Fried, Roland | |
| dc.date.accessioned | 2016-07-04T09:48:33Z | |
| dc.date.available | 2016-07-04T09:48:33Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | This article deals with the right-tail behavior of a response distribution F_Y conditional on a regressor vector X = x restricted to the heavy-tailed case of Pareto-type conditional distributions F_Y (y| x) = P(Y ≤ y| X = x), with heaviness of the right tail characterized by the conditional extreme value index γ(x) > 0. We particularly focus on testing the hypothesis H_0;tail : γ(x) = γ0 of constant tail behavior for some γ0 > 0 and all possible x. When considering x as a time index, the term trend analysis is commonly used. In the recent past several such trend analyses in extreme value data have been published, mostly focusing on time-varying modeling of location and scale parameters of the response distribution. In many such environmental studies a simple test against trend based on Kendall's tau statistic is applied. This test is powerful when the center of the conditional distribution F_Y (y|x) changes monotonically in x, for instance, in a simple location model μ(x) = μ_0 + x * μ_1, x = (1, x)’, but the test is rather insensitive against monotonic tail behavior, say, μ(x) = η_0 + x * η_1. This has to be considered, since for many environmental applications the main interest is on the tail rather than the center of a distribution. Our work is motivated by this problem and it is our goal to demonstrate the opportunities and the limits of detecting and estimating non-constant conditional heavy-tail behavior with regard to applications from hydrology. We present and compare four different procedures by simulations and illustrate our findings on real data from hydrology: Weekly maxima of hourly precipitation from France and monthly maximal river flows from Germany. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/35131 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17178 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB823;35, 2016 | en |
| dc.subject | eavy tails | en |
| dc.subject | precipitation | en |
| dc.subject | flood frequency | en |
| dc.subject | relative excesses | en |
| dc.subject | regression model | en |
| dc.subject | extreme value index | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | Conditional heavy-tail behavior with applications to precipitation and river flow extremes | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access | |
| eldorado.dnb.deposit | true | de |
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