A likelihood for correlated extreme series
This paper develops a likelihood for sequences of extremes when observations are dependent in time. The likelihood allows researchers to obtain more realistic standard errors of the generalized extreme‐value parameters. As a motivating example, annual minimum temperatures are examined from the Farad...
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Online Access: | https://doi.org/10.1002/env.2546 |
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ftrepec:oai:RePEc:wly:envmet:v:30:y:2019:i:4:n:e2546 2023-05-15T13:49:20+02:00 A likelihood for correlated extreme series L. Zhu X. Liu R. Lund https://doi.org/10.1002/env.2546 unknown https://doi.org/10.1002/env.2546 article ftrepec https://doi.org/10.1002/env.2546 2020-12-04T13:30:47Z This paper develops a likelihood for sequences of extremes when observations are dependent in time. The likelihood allows researchers to obtain more realistic standard errors of the generalized extreme‐value parameters. As a motivating example, annual minimum temperatures are examined from the Faraday/Vernadsky research station in Antarctica. Here, the year‐to‐year correlation in the series is about 0.46. Our likelihood allows the series to have temporal correlation but also keeps a generalized extreme‐value marginal distribution at each point in time. An analysis of the Faraday/Vernadsky annual minimum temperatures is conducted. While the standard error of the estimated trend increases when dependence is taken into account, it does not change the correlation‐ignored inference that annual minimum temperatures at the station are increasing. Article in Journal/Newspaper Antarc* Antarctica RePEc (Research Papers in Economics) Faraday ENVELOPE(-64.256,-64.256,-65.246,-65.246) Environmetrics 30 4 |
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Open Polar |
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RePEc (Research Papers in Economics) |
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ftrepec |
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unknown |
description |
This paper develops a likelihood for sequences of extremes when observations are dependent in time. The likelihood allows researchers to obtain more realistic standard errors of the generalized extreme‐value parameters. As a motivating example, annual minimum temperatures are examined from the Faraday/Vernadsky research station in Antarctica. Here, the year‐to‐year correlation in the series is about 0.46. Our likelihood allows the series to have temporal correlation but also keeps a generalized extreme‐value marginal distribution at each point in time. An analysis of the Faraday/Vernadsky annual minimum temperatures is conducted. While the standard error of the estimated trend increases when dependence is taken into account, it does not change the correlation‐ignored inference that annual minimum temperatures at the station are increasing. |
format |
Article in Journal/Newspaper |
author |
L. Zhu X. Liu R. Lund |
spellingShingle |
L. Zhu X. Liu R. Lund A likelihood for correlated extreme series |
author_facet |
L. Zhu X. Liu R. Lund |
author_sort |
L. Zhu |
title |
A likelihood for correlated extreme series |
title_short |
A likelihood for correlated extreme series |
title_full |
A likelihood for correlated extreme series |
title_fullStr |
A likelihood for correlated extreme series |
title_full_unstemmed |
A likelihood for correlated extreme series |
title_sort |
likelihood for correlated extreme series |
url |
https://doi.org/10.1002/env.2546 |
long_lat |
ENVELOPE(-64.256,-64.256,-65.246,-65.246) |
geographic |
Faraday |
geographic_facet |
Faraday |
genre |
Antarc* Antarctica |
genre_facet |
Antarc* Antarctica |
op_relation |
https://doi.org/10.1002/env.2546 |
op_doi |
https://doi.org/10.1002/env.2546 |
container_title |
Environmetrics |
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30 |
container_issue |
4 |
_version_ |
1766251188588642304 |