Conditional extremes from heavy-tailed distributions: An application to the estimation of extreme rainfall return levels

Laurent Gardes 1 Stephane Girard 1
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
Abstract : This paper is dedicated to the estimation of extreme quantiles and the tail index from heavy-tailed distributions when a covariate is recorded simultaneously with the quantity of interest. A nearest neighbor approach is used to construct our estimators. Their asymptotic normality is established under mild regularity conditions and their finite sample properties are illustrated on a simulation study. An application to the estimation of pointwise return levels of extreme rainfalls in the Cevennes-Vivarais region is provided.
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Journal articles
Extremes, Springer Verlag (Germany), 2010, 13 (2), pp.177-204. 〈10.1007/s10687-010-0100-z〉
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Laurent Gardes, Stephane Girard. Conditional extremes from heavy-tailed distributions: An application to the estimation of extreme rainfall return levels. Extremes, Springer Verlag (Germany), 2010, 13 (2), pp.177-204. 〈10.1007/s10687-010-0100-z〉. 〈hal-00371757v4〉

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