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An extreme-value theory model for dependent observations

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An extreme-value theory model for dependent observations. / Tawn, Jonathan A.
In: Journal of Hydrology, Vol. 101, No. 1-4, 30.06.1988, p. 227-250.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Tawn, JA 1988, 'An extreme-value theory model for dependent observations', Journal of Hydrology, vol. 101, no. 1-4, pp. 227-250. https://doi.org/10.1016/0022-1694(88)90037-6

APA

Tawn, J. A. (1988). An extreme-value theory model for dependent observations. Journal of Hydrology, 101(1-4), 227-250. https://doi.org/10.1016/0022-1694(88)90037-6

Vancouver

Tawn JA. An extreme-value theory model for dependent observations. Journal of Hydrology. 1988 Jun 30;101(1-4):227-250. doi: 10.1016/0022-1694(88)90037-6

Author

Tawn, Jonathan A. / An extreme-value theory model for dependent observations. In: Journal of Hydrology. 1988 ; Vol. 101, No. 1-4. pp. 227-250.

Bibtex

@article{15b99760058c41d5a5ed07289e9a750c,
title = "An extreme-value theory model for dependent observations",
abstract = "Modelling extreme values from an environmental time series requires an extreme-value theory model which can handle dependent observations. A method of filtering the original time series to obtain independent extremes is presented. The resulting extremes are then modelled using an extension of suggested ideas*. Here the limiting joint Generalized Extreme Value distribution for the r largest order statistics is considered; whereas others** ** Smith (1986). used the corresponding Gumbel distribution. Various tests of fit of the model are discussed, with a detailed analysis of how to test for dependence between extremes in the original sequence. An additional method of using data from neighbouring sites to improve the estimation is suggested. The procedures and tests are illustrated by an application to the sea levels at Lowestoft and Great Yarmouth.",
author = "Tawn, {Jonathan A.}",
year = "1988",
month = jun,
day = "30",
doi = "10.1016/0022-1694(88)90037-6",
language = "English",
volume = "101",
pages = "227--250",
journal = "Journal of Hydrology",
issn = "0022-1694",
publisher = "Elsevier Science B.V.",
number = "1-4",

}

RIS

TY - JOUR

T1 - An extreme-value theory model for dependent observations

AU - Tawn, Jonathan A.

PY - 1988/6/30

Y1 - 1988/6/30

N2 - Modelling extreme values from an environmental time series requires an extreme-value theory model which can handle dependent observations. A method of filtering the original time series to obtain independent extremes is presented. The resulting extremes are then modelled using an extension of suggested ideas*. Here the limiting joint Generalized Extreme Value distribution for the r largest order statistics is considered; whereas others** ** Smith (1986). used the corresponding Gumbel distribution. Various tests of fit of the model are discussed, with a detailed analysis of how to test for dependence between extremes in the original sequence. An additional method of using data from neighbouring sites to improve the estimation is suggested. The procedures and tests are illustrated by an application to the sea levels at Lowestoft and Great Yarmouth.

AB - Modelling extreme values from an environmental time series requires an extreme-value theory model which can handle dependent observations. A method of filtering the original time series to obtain independent extremes is presented. The resulting extremes are then modelled using an extension of suggested ideas*. Here the limiting joint Generalized Extreme Value distribution for the r largest order statistics is considered; whereas others** ** Smith (1986). used the corresponding Gumbel distribution. Various tests of fit of the model are discussed, with a detailed analysis of how to test for dependence between extremes in the original sequence. An additional method of using data from neighbouring sites to improve the estimation is suggested. The procedures and tests are illustrated by an application to the sea levels at Lowestoft and Great Yarmouth.

U2 - 10.1016/0022-1694(88)90037-6

DO - 10.1016/0022-1694(88)90037-6

M3 - Journal article

AN - SCOPUS:0024165315

VL - 101

SP - 227

EP - 250

JO - Journal of Hydrology

JF - Journal of Hydrology

SN - 0022-1694

IS - 1-4

ER -