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

Laurent Gardes (1) , Stéphane Girard (1)

1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems

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 return levels of extreme rainfalls in the Cevennes-Vivarais region is provided.

Mots clés: Conditional extreme quantiles; heavy-tailed distribution; nearest neighbor estimator; extreme rainfalls.

Mots clés: extreme rainfalls

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Laurent Gardes, Stéphane Girard. Conditional extremes from heavy-tailed distributions: An application to the estimation of extreme rainfall return levels. 2009. ⟨hal-00371757v1⟩