Time varying extremes for monitoring aquatic biosensors
Résumé
Measurement of mollusks bivalves activity is a way to record the animal behavior and so to evaluate possible changes in the water quality. In the framework of ecological time series data at times 0 < t1 < ::: < tn T; we observe independent observations Xt1 ; :::;Xtn where each Xti is distributed according to the distribution function Fti : For each t 2 [0; T], we propose a non parametric adaptive estimator for tail probabilities and extreme quantiles of Ft: The idea of our approach is to adjust the tail of the distribution function Ft with a Pareto distribution with parameter t; starting from a threshold . The parameter t; is estimated using a non parametric kernel estimator of bandwidth h based on the observations larger than : Under some regularity assumptions, we prove that the proposed adaptive estimator of t; is consistent and we determine its rate of convergence. We also propose a sequential testing based procedure for the automatic choice of the threshold when the bandwidth h is xed. Finally, we study the properties of this procedure by simulation and on real data set to estimate global changes (pollution, temperature change) and so to help in the survey of aquatic systems.
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