Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology

Anne Dutfoy; Sylvie Parey; Nicolas Roche

Dependence Modeling (2014)

  • Volume: 2, Issue: 1, page 30-48, electronic only
  • ISSN: 2300-2298

Abstract

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In this paper, we provide a tutorial on multivariate extreme value methods which allows to estimate the risk associated with rare events occurring jointly. We draw particular attention to issues related to extremal dependence and we insist on the asymptotic independence feature. We apply the multivariate extreme value theory on two data sets related to hydrology and meteorology: first, the joint flooding of two rivers, which puts at risk the facilities lying downstream the confluence; then the joint occurrence of high speed wind and low air temperatures, which might affect overhead lines.

How to cite

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Anne Dutfoy, Sylvie Parey, and Nicolas Roche. "Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology." Dependence Modeling 2.1 (2014): 30-48, electronic only. <http://eudml.org/doc/266769>.

@article{AnneDutfoy2014,
abstract = {In this paper, we provide a tutorial on multivariate extreme value methods which allows to estimate the risk associated with rare events occurring jointly. We draw particular attention to issues related to extremal dependence and we insist on the asymptotic independence feature. We apply the multivariate extreme value theory on two data sets related to hydrology and meteorology: first, the joint flooding of two rivers, which puts at risk the facilities lying downstream the confluence; then the joint occurrence of high speed wind and low air temperatures, which might affect overhead lines.},
author = {Anne Dutfoy, Sylvie Parey, Nicolas Roche},
journal = {Dependence Modeling},
keywords = {Multivariate extreme value theory; Joint extreme hazards; Asymptotic independence; multivariate extreme value theory; joint extreme hazards; asymptotic independence},
language = {eng},
number = {1},
pages = {30-48, electronic only},
title = {Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology},
url = {http://eudml.org/doc/266769},
volume = {2},
year = {2014},
}

TY - JOUR
AU - Anne Dutfoy
AU - Sylvie Parey
AU - Nicolas Roche
TI - Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology
JO - Dependence Modeling
PY - 2014
VL - 2
IS - 1
SP - 30
EP - 48, electronic only
AB - In this paper, we provide a tutorial on multivariate extreme value methods which allows to estimate the risk associated with rare events occurring jointly. We draw particular attention to issues related to extremal dependence and we insist on the asymptotic independence feature. We apply the multivariate extreme value theory on two data sets related to hydrology and meteorology: first, the joint flooding of two rivers, which puts at risk the facilities lying downstream the confluence; then the joint occurrence of high speed wind and low air temperatures, which might affect overhead lines.
LA - eng
KW - Multivariate extreme value theory; Joint extreme hazards; Asymptotic independence; multivariate extreme value theory; joint extreme hazards; asymptotic independence
UR - http://eudml.org/doc/266769
ER -

References

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