SUPPLEMENTARY MATERIAL: STABLE SUMS TO INFER HIGH RETURN LEVELS OF MULTIVARIATE RAINFALL TIME SERIES

Gloria Buriticá (1) , Philippe Naveau (2)

1 LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation
2 LSCE - Laboratoire des Sciences du Climat et de l'Environnement [Gif-sur-Yvette]

First, we complement the case study of heavy rainfall in France by implementing Pareto-based methods using declustering techniques. Second, we develop on the asymptotic theory of the stable sums method. To prove Theorem 6.1, we give a more general statement and prove the multivariate central limit theory of regularly varying time series with unit (tail)-index.

Mots clés: Environmental time series; stable distributions; extremal index; cluster process; multivariate regular variation; stationary time series; stable distribution

Domaines: Méthodologie [stat.ME]

Gloria Buriticá, Philippe Naveau. SUPPLEMENTARY MATERIAL: STABLE SUMS TO INFER HIGH RETURN LEVELS OF MULTIVARIATE RAINFALL TIME SERIES. 2022. ⟨hal-03652896⟩