L-moments for automatic threshold selection in extreme value analysis
| Autor: | Maria Isabel Fraga Alves, Jessica Silva Lomba |
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| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
FOS: Computer and information sciences
Environmental Engineering Computer science Estimation theory Inference Computational intelligence Variance (accounting) Statistics - Applications Methodology (stat.ME) Generalized Pareto distribution Environmental Chemistry Applications (stat.AP) Sensitivity (control systems) Safety Risk Reliability and Quality Extreme value theory Algorithm Selection (genetic algorithm) Statistics - Methodology General Environmental Science Water Science and Technology |
| Popis: | In extreme value analysis, sensitivity of inference to the definition of extreme event is a paramount issue. Under the peaks-over-threshold (POT) approach, this translates directly into the need of fitting a Generalized Pareto distribution to observations above a suitable level that balances bias versus variance of estimates. Selection methodologies established in the literature face recurrent challenges such as an inherent subjectivity or high computational intensity. We suggest a truly automated method for threshold detection, aiming at time efficiency and elimination of subjective judgment. Based on the well-established theory of L-moments, this versatile data-driven technique can handle batch processing of large collections of extremes data, while also presenting good performance on small samples. The technique's performance is evaluated in a large simulation study and illustrated with significant wave height data sets from the literature. We find that it compares favorably to other state-of-the-art methods regarding the choice of threshold, associated parameter estimation and the ultimate goal of computationally efficient return level estimation. |
| Databáze: | OpenAIRE |
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