A Markov-switching model for heat waves
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Publication:288559
DOI10.1214/15-AOAS873zbMATH Open1454.62460arXiv1405.3904WikidataQ57432830 ScholiaQ57432830MaRDI QIDQ288559FDOQ288559
Authors: Benjamin A. Shaby, Brian J. Reich, Cari G. Kaufman, Daniel Cooley 
Publication date: 27 May 2016
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Abstract: Heat waves merit careful study because they inflict severe economic and societal damage. We use an intuitive, informal working definition of a heat wave-a persistent event in the tail of the temperature distribution-to motivate an interpretable latent state extreme value model. A latent variable with dependence in time indicates membership in the heat wave state. The strength of the temporal dependence of the latent variable controls the frequency and persistence of heat waves. Within each heat wave, temperatures are modeled using extreme value distributions, with extremal dependence across time accomplished through an extreme value Markov model. One important virtue of interpretability is that model parameters directly translate into quantities of interest for risk management, so that questions like whether heat waves are becoming longer, more severe or more frequent are easily answered by querying an appropriate fitted model. We demonstrate the latent state model on two recent, calamitous, examples: the European heat wave of 2003 and the Russian heat wave of 2010.
Full work available at URL: https://arxiv.org/abs/1405.3904
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Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)
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Cited In (7)
- On stochastic dynamic modeling of incidence data
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- \(k\)th-order Markov extremal models for assessing heatwave risks
- Modeling waves of extreme temperature: the changing tails of four cities
- Time-varying Markov models for binary temperature series in agrorisk management
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