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

DOI10.1007/S10687-016-0273-1MaRDI QIDQ1675709zbMATH OpenOpenAlexWikidataFDO

Authors Ivan Kojadinovic, Philippe Naveau

Publication date 2 November 2017

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.06121

zbMATH Keywords

block maximacumulative sum statistics (CUSUM)generalized extreme value distributionprobability weighted moment estimatorweighted empirical process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

Abstract: The analysis of seasonal or annual block maxima is of interest in fields such as hydrology, climatology or meteorology. In connection with the celebrated method of block maxima, we study several tests that can be used to assess whether the available series of maxima is identically distributed. It is assumed that block maxima are independent but not necessarily generalized extreme value distributed. The asymptotic null distributions of the test statistics are investigated and the practical computation of approximate p-values is addressed. Extensive Monte-Carlo simulations show the adequate finite-sample behavior of the studied tests for a large number of realistic data generating scenarios. Illustrations on several environmental datasets conclude the work.

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Cited in

(5)

• On the block maxima method in extreme value theory: PWM estimators
• Sources of uncertainty in the extreme value statistics of climate data
• Detecting change in UK extreme precipitation using results from the climateprediction.net BBC climate change experiment
• On the disjoint and sliding block maxima method for piecewise stationary time series
• Statistics for heteroscedastic time series extremes

Describes a project that uses

Uses Software

• R
• ismev
• evd
• npcp

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