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Generalised extreme value model with cyclic covariate structure for analysis of non-stationary hydrometeorological extremes

  • R S Jagtap
  • V K Gedam
  • Mohan M Kale
Article
  • 37 Downloads

Abstract

Studies carried out recently on hydrometeorological extremes report the evidence of non-stationarity induced by potential long-term climatic fluctuations and anthropogenic factors. A critical examination of the stationarity assumption has been carried out and a non-stationary generalised extreme value model with cyclic covariate structure for modelling magnitude and variation of data series with some degrees of correlation for real-world applications is proposed. Interestingly, the sinusoidal function with periodicity around 30 yr has been derived as a suitable covariate structure to deal with the ambiguous nature of temporal trends and this could possibly be linked to ‘Sun cycles’. It has adequately explained the cyclic patterns recognised in the annual rainfall which are helpful for realistic estimation of quantiles. Various diagnostic plots and statistics support the usefulness of the proposed covariate structure to tackle potential non-stationarities in the data characterising extreme events in various fields such as hydrology, environment, finance, etc.

Keywords

Covariate cyclicity extreme values trend quantile 

Notes

Acknowledgements

Authors wish to thank the Director, CWPRS, Pune, for encouragement and continuous support.

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Copyright information

© Indian Academy of Sciences 2018

Authors and Affiliations

  1. 1.Central Water and Power Research StationGovernment of IndiaKhadakwasla, PuneIndia
  2. 2.Department of Statistics & Centre for Advanced Studies in StatisticsSavitribai Phule Pune UniversityPuneIndia

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