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Trend Analysis of Extreme Values

  • Goedele DierckxEmail author
  • Jef Teugels
Conference paper
Part of the Lecture Notes in Statistics book series (LNS, volume 205)

Abstract

In Dierckx and Teugels (Environmetrics 2:1–26) we concentrated on testing whether an instantaneous change occurs in the value of the extreme value index. This short article illustrates with an explicit example that in some cases the extreme value index seems to change gradually rather than instantaneously. To this end a moving Hill estimator is introduced. Further a change point analysis and a trend analysis are performed. With this last analysis it is investigated whether a linear trend appears in the extreme value index.

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Copyright information

© Springer Science+Business Media, LLC 2012

Authors and Affiliations

  1. 1.Hogeschool-Universiteit BrusselBrusselBelgium
  2. 2.Department of Mathematics and Leuven Statistics Research Center (LStat)Katholieke Universiteit LeuvenHeverleeBelgium

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