Abstract
When we are dealing with meteorological data, usually one is interested in the analysis of maximal observations and records over time, since these entail negative consequences—risk events. Extreme Value Theory has proved to be a powerful and useful tool to describe situations that may have a significant impact in many application areas, where knowledge of the behavior of the tail of a distribution is of main interest. The classical Gnedenko theorem establishes that there are three type of possible limit max-stable distributions for maxima of blocks of independent and identically distributed (iid) observations. However, for the types of data to which extreme value models are commonly applied, temporal independence is usually an unrealistic assumption and one could ask about the appropriateness of max-stable models. Luckily, stationary and weekly dependent series follow the same distributional limit laws as those of independent series, although with parameters affected by dependence. For rainfall data, we will play with these results, analyzing max-stability at work for rare events estimation and the real impact of “neglecting” iid property.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Coles, S.: An Introduction to Statistical Modeling of Extreme Values. Springer Series in Statistics. Springer, London (2001)
Gnedenko, B.V.: Sur la distribution limite du terme maximum d’une série aléatoire. Ann. Math. 44, 423–453 (1943)
Mínguez, R., Guanche, Y., Méndez, F.J.: Point-in-time and extreme-value probability simulation technique for engineering design. Struct. Saf. 41, 29–36 (2012)
Nascimento, F.F.: Abordagem Bayesiana Não-paramétrica para Análise de Valores Extremos. Ph.D. Thesis. Universidade Federal do Rio de Janeiro (2009)
Nascimento, F.F., Gamerman, D., Lopes, H.F.: A semiparametric Bayesian approach to extreme value estimation. Stat. Comput. 22, 661–675 (2012)
R Development Core Team (2011). R: A Language and Environment for Statistical Computing. The R Foundation for Statistical Computing, Vienna. Available online at http://www.R-project.org/ [ISBN: 3-900051-07-0]
Acknowledgements
Partially supported by PEst-OE/MAT/UI0006/2014 and EXTREMA-FCT/ PTDC/MAT/101736/2008.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2015 Springer International Publishing Switzerland
About this paper
Cite this paper
Fraga Alves, M.I. (2015). Max-Stability at Work (or Not): Estimating Return Levels for Daily Rainfall Data. In: Bourguignon, JP., Jeltsch, R., Pinto, A., Viana, M. (eds) Mathematics of Energy and Climate Change. CIM Series in Mathematical Sciences, vol 2. Springer, Cham. https://doi.org/10.1007/978-3-319-16121-1_1
Download citation
DOI: https://doi.org/10.1007/978-3-319-16121-1_1
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-16120-4
Online ISBN: 978-3-319-16121-1
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)