Detecting distributional changes in samples of independent block maxima using probability weighted moments (Q1675709)

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Detecting distributional changes in samples of independent block maxima using probability weighted moments
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    Detecting distributional changes in samples of independent block maxima using probability weighted moments (English)
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    2 November 2017
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    The block maxima (BM) method in extreme value theory is a useful tool in the analysis of data in climatology, hydrology and meteorology. Statistical properties of maximum likelihood estimators and probability weighted moments (PWM) are considered by several authors. In the present paper, the question of distributional changes is investigated: The block maxima approach consists of observation period into nonoverlapping periods; the new observations are the maxima in each period. The distribution of these block maxima is modeled by the generalized extreme value (GEV) distribution. The question arises, whether the maxima have all the same distribution or not. To answer this question the authors propose test statistics which are related to the CUSUM statistics for the change-point detection. To formulate the test procedures the PWM method is recalled and generalized. The authors derive the limit distribution of the test statistics under the null hypothesis -- a result on the weak convergence of the sequential weighted uniform empirical process and of certain sequential empirical processes constructed from the PWM estimators. Based on this limit statement the computation of the \(p\)-values is discussed. Monte Carlo experiments demonstrate the finite-sample properties of the proposed test procedures. Further, the test is applied to real climate data.
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    block maxima
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    cumulative sum statistics (CUSUM)
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    generalized extreme value distribution
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    probability weighted moment estimator
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    weighted empirical process
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