Improving precipitation forecasts using extreme quantile regression

DOI10.1007/S10687-019-00355-1MaRDI QIDQ2283052zbMATH OpenOpenAlexWikidataFDO

Authors Jasper Velthoen, Juan-Juan Cai, Geurt Jongbloed, Maurice Schmeits

Publication date 27 December 2019

Published in Extremes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1806.05429

zbMATH Keywords

asymptoticsextreme conditional quantileextreme precipitationforecast skilllocal linear quantile regressionstatistical post-processing

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to environmental and related topics (62P12)

Abstract: Aiming to estimate extreme precipitation forecast quantiles, we propose a nonparametric regression model that features a constant extreme value index. Using local linear quantile regression and an extrapolation technique from extreme value theory, we develop an estimator for conditional quantiles corresponding to extreme high probability levels. We establish uniform consistency and asymptotic normality of the estimators. In a simulation study, we examine the performance of our estimator on finite samples in comparison with a method assuming linear quantiles. On a precipitation data set in the Netherlands, these estimators have greater predictive skill compared to the upper member of ensemble forecasts provided by a numerical weather prediction model.

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Cited in

(20)

• INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles
• Prediction of extremal precipitation by quantile regression forests: from SNU multiscale team
• The MELBS team winning entry for the EVA2017 competition for spatiotemporal prediction of extreme rainfall using generalized extreme value quantiles
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Scoring predictions at extreme quantiles
• Distributional regression forests for probabilistic precipitation forecasting in complex terrain
• A Multivariate Regression Reconstruction of the Quasi-Global Annual Precipitation on 1-Deg Grid From 1900 To 2015
• A Bayesian semi-parametric mixture model for bivariate extreme value analysis with application to precipitation forecasting
• Statistical downscaling of extreme precipitation events using extreme value theory
• Synoptic airflow and UK daily precipitation extremes: development and validation of a vector generalized linear model
• Gradient boosting for extreme quantile regression
• Optimal weighted pooling for inference about the tail index and extreme quantiles
• Generalized Pareto regression trees for extreme event analysis
• Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
• Extremal Random Forests
• Online prediction of extreme conditional quantiles via B-spline interpolation
• Neural networks for extreme quantile regression with an application to forecasting of flood risk
• Modeling extreme events: univariate and multivariate data-driven approaches. EVA (2023) Conference Data Challenge: team genEVA
• Extreme conformal prediction: reliable intervals for high-impact events
• Semi-parametric bulk and tail regression using spline-based neural networks

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