Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology

• Autorzy: Anne Dutfoy , Sylvie Parey , Nicolas Roche
• Języki publikacji: EN

Abstrakty

EN

In this paper, we provide a tutorial on multivariate extreme value methods which allows to estimate the risk associated with rare events occurring jointly. We draw particular attention to issues related to extremal dependence and we insist on the asymptotic independence feature. We apply the multivariate extreme value theory on two data sets related to hydrology and meteorology: first, the joint flooding of two rivers, which puts at risk the facilities lying downstream the confluence; then the joint occurrence of high speed wind and low air temperatures, which might affect overhead lines.

Słowa kluczowe

EN

Multivariate extreme value theory; Joint extreme hazards; Asymptotic independence

Kategorie tematyczne

• 62H12: Estimation
• 62H05: Characterization and structure theory
• 62G32: Statistics of extreme values; tail inference

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2014
• Tom: 2
• Numer: 1

Daty

otrzymano

2013-06-02

zaakceptowano

2014-04-24

online

2014-06-02

Twórcy

autor

Anne Dutfoy

• EDF R&D, 1, avenue du Général de Gaulle, 92141 CLAMART Cedex, France

autor

Sylvie Parey

• EDF R&D, 6 quai Watier, 78401 Chatou Cedex, France

autor

Nicolas Roche

• EDF R&D, 6 quai Watier, 78401 Chatou Cedex, France

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Identyfikatory

DOI

10.2478/demo-2014-0003