Conditional heavy-tail behavior with applications to precipitation and river flow extremes

Original Paper

Abstract

This article deals with the right-tail behavior of a response distribution \(F_Y\) conditional on a regressor vector \({\mathbf {X}}={\mathbf {x}}\) restricted to the heavy-tailed case of Pareto-type conditional distributions \(F_Y(y|\ {\mathbf {x}})=P(Y\le y|\ {\mathbf {X}}={\mathbf {x}})\), with heaviness of the right tail characterized by the conditional extreme value index \(\gamma ({\mathbf {x}})>0\). We particularly focus on testing the hypothesis \({\mathscr {H}}_{0,tail}:\ \gamma ({\mathbf {x}})=\gamma _0\) of constant tail behavior for some \(\gamma _0>0\) and all possible \({\mathbf {x}}\). When considering \({\mathbf {x}}\) as a time index, the term trend analysis is commonly used. In the recent past several such trend analyses in extreme value data have been published, mostly focusing on time-varying modeling of location or scale parameters of the response distribution. In many such environmental studies a simple test against trend based on Kendall’s tau statistic is applied. This test is powerful when the center of the conditional distribution \(F_Y(y|{\mathbf {x}})\) changes monotonically in \({\mathbf {x}}\), for instance, in a simple location model \(\mu ({\mathbf {x}})=\mu _0+x\cdot \mu _1\), \({\mathbf {x}}=(1,x)'\), but the test is rather insensitive against monotonic tail behavior, say, \(\gamma ({\mathbf {x}})=\eta _0+x\cdot \eta _1\). This has to be considered, since for many environmental applications the main interest is on the tail rather than the center of a distribution. Our work is motivated by this problem and it is our goal to demonstrate the opportunities and the limits of detecting and estimating non-constant conditional heavy-tail behavior with regard to applications from hydrology. We present and compare four different procedures by simulations and illustrate our findings on real data from hydrology: weekly maxima of hourly precipitation from France and monthly maximal river flows from Germany.

Keywords

Heavy tails Extreme value index Regression model Relative excesses Flood frequency Precipitation 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2016

Authors and Affiliations

  1. 1.Department of StatisticsTU DortmundDortmundGermany

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