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Statistical analysis of extreme events in a nonstationary context via a Bayesian framework. Case study with peak-over-threshold data
- Source :
- Stochastic Environmental Research and Risk Assessment, Stochastic Environmental Research and Risk Assessment, Springer Verlag (Germany), 2006, 21 (2), p. 97-p. 112. ⟨10.1007/s00477-006-0047-4⟩
- Publication Year :
- 2006
- Publisher :
- HAL CCSD, 2006.
-
Abstract
- Statistical analysis of extremes currently assumes that data arise from a stationary process, although such an hypothesis is not easily assessable and should therefore be considered as an uncertainty. The aim of this paper is to describe a Bayesian framework for this purpose, considering several probabilistic models (stationary, step-change and linear trend models) and four extreme values distributions (exponential, generalized Pareto, Gumbel and GEV). Prior distributions are specified by using regional prior knowledge about quantiles. Posterior distributions are used to estimate parameters, quantify the probability of models and derive a realistic frequency analysis, which takes into account estimation, distribution and stationarity uncertainties. MCMC methods are needed for this purpose, and are described in the article. Finally, an application to a POT discharge series is presented, with an analysis of both occurrence process and peak distribution.
- Subjects :
- Environmental Engineering
Stationary process
010504 meteorology & atmospheric sciences
[SDE.MCG]Environmental Sciences/Global Changes
Bayesian probability
CLIMATE CHANGE
0207 environmental engineering
BAYESIAN ANALYSIS
02 engineering and technology
01 natural sciences
UNCERTAINTIES
symbols.namesake
Gumbel distribution
INCERTITUDE
STATISTIQUE BAYESIENNE
Generalized Pareto distribution
STATIONARITY
[MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]
EXTREME EVENTS
METHODE MCMC
Econometrics
Environmental Chemistry
Applied mathematics
020701 environmental engineering
Safety, Risk, Reliability and Quality
Extreme value theory
ANALYSE FREQUENTIELLE
0105 earth and related environmental sciences
General Environmental Science
Water Science and Technology
Mathematics
ANALYSE STATISTIQUE
FREQUENCY ANALYSIS
Markov chain Monte Carlo
[STAT.TH]Statistics [stat]/Statistics Theory [stat.TH]
THEORIE DES VALEURS EXTREMES
STATIONNARITE
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
[SDU.STU.CL]Sciences of the Universe [physics]/Earth Sciences/Climatology
CHANGEMENT CLIMATIQUE
symbols
Generalized extreme value distribution
[PHYS.PHYS.PHYS-DATA-AN]Physics [physics]/Physics [physics]/Data Analysis, Statistics and Probability [physics.data-an]
Quantile
Subjects
Details
- Language :
- English
- ISSN :
- 14363240 and 14363259
- Database :
- OpenAIRE
- Journal :
- Stochastic Environmental Research and Risk Assessment, Stochastic Environmental Research and Risk Assessment, Springer Verlag (Germany), 2006, 21 (2), p. 97-p. 112. ⟨10.1007/s00477-006-0047-4⟩
- Accession number :
- edsair.doi.dedup.....a008e26841b91366630f4222feeb5ae8
- Full Text :
- https://doi.org/10.1007/s00477-006-0047-4⟩