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Spatial dependence and space-time trend in extreme events

Einmahl,John
; 
Ferreira,Ana
; 
de Haan,L.F.M.
; 
Neves,C.
; 
Zhou,Chen
Abstract
The statistical theory of extremes is extended to independent multivariate observations that are non-stationary both over time and across space. The non-stationarity over time and space is controlled via the scedasis (tail scale) in the marginal distributions. Spatial dependence stems from multivariate extreme value theory. We establish asymptotic theory for both the weighted sequential tail empirical process and the weighted tail quantile process based on all observations, taken over time and space. The results yield two statistical tests for homoscedasticity in the tail, one in space and one in time. Further, we show that the common extreme value index can be estimated via a pseudo-maximum likelihood procedure based on pooling all (non-stationary and dependent) observations. Our leading example and application is rainfall in Northern Germany.
Description
Funding Information: Funding. John Einmahl holds the Arie Kapteyn Chair 2019-2022 and gratefully acknowledges the corresponding research support. Ana Ferreira was partially supported by FCT-Portugal: UIDB/04621/2020, UIDB/00006/2020 and SFRH/BSAB/142912/2018; IST: P.5088. Laurens de Haan was financially supported by FCT—Fundação para a Ciên-cia e a Tecnologia, Portugal, through the projects UIDB/00006/2020 and PTDC/MAT-STA/28649/2017. Cláudia Neves gratefully acknowledges support from EPSRC-UKRI Innovation Fellowship grant EP/S001263/1 and project FCT-UIDB/00006/2020. Publisher Copyright: © Institute of Mathematical Statistics, 2022.
Date
2022-02
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Tilburg University Research Output Collection
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Keywords
multivariate extreme value statistics, non-identical distributions, sequential tail empirical process, testing
Citation
Einmahl, J, Ferreira, A, de Haan, L F M, Neves, C & Zhou, C 2022, 'Spatial dependence and space-time trend in extreme events', Annals of Statistics, vol. 50, no. 1, pp. 30-52. https://doi.org/10.1214/21-AOS2067
URI
https://hdl.handle.net/20.500.14602/75011
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info:eu-repo/semantics/closedAccess
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