Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels

被引：58

作者：

Gardes, Laurent ^{[1
,2
]}

Girard, Stephane ^{[1
,2
]}

机构：

[1] INRIA Rhone Alpes, Team Mistis, F-38334 Montbonnot St Martin, Saint Ismier, France

[2] Lab Jean Kuntzmann, F-38334 Montbonnot St Martin, Saint Ismier, France

来源：

EXTREMES | 2010年 / 13卷 / 02期

关键词：

Conditional extreme quantiles; Heavy-tailed distribution; Nearest neighbor estimator; Extreme rainfalls; QUANTILES; MODELS; INDEX;

D O I：

10.1007/s10687-010-0100-z

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper is dedicated to the estimation of extreme quantiles and the tail index from heavy-tailed distributions when a covariate is recorded simultaneously with the quantity of interest. A nearest neighbor approach is used to construct our estimators. Their asymptotic normality is established under mild regularity conditions and their finite sample properties are illustrated on a simulation study. An application to the estimation of pointwise return levels of extreme rainfalls in the Cevennes-Vivarais region is provided.

引用

页码：177 / 204

页数：28

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