scholarly journals Non-stationary extreme value analysis in a changing climate

2014 ◽  
Vol 127 (2) ◽  
pp. 353-369 ◽  
Author(s):  
Linyin Cheng ◽  
Amir AghaKouchak ◽  
Eric Gilleland ◽  
Richard W Katz
2021 ◽  
Vol 25 (1) ◽  
pp. 273-290
Author(s):  
Torben Schmith ◽  
Peter Thejll ◽  
Peter Berg ◽  
Fredrik Boberg ◽  
Ole Bøssing Christensen ◽  
...  

Abstract. Severe precipitation events occur rarely and are often localised in space and of short duration, but they are important for societal managing of infrastructure. Therefore, there is a demand for estimating future changes in the statistics of the occurrence of these rare events. These are often projected using data from regional climate model (RCM) simulations combined with extreme value analysis to obtain selected return levels of precipitation intensity. However, due to imperfections in the formulation of the physical parameterisations in the RCMs, the simulated present-day climate usually has biases relative to observations; these biases can be in the mean and/or in the higher moments. Therefore, the RCM results are adjusted to account for these deficiencies. However, this does not guarantee that the adjusted projected results will match the future reality better, since the bias may not be stationary in a changing climate. In the present work, we evaluate different adjustment techniques in a changing climate. This is done in an inter-model cross-validation set-up in which each model simulation, in turn, performs pseudo-observations against which the remaining model simulations are adjusted and validated. The study uses hourly data from historical and RCP8.5 scenario runs from 19 model simulations from the EURO-CORDEX ensemble at a 0.11∘ resolution. Fields of return levels for selected return periods are calculated for hourly and daily timescales based on 25-year-long time slices representing the present-day (1981–2005) and end-21st-century (2075–2099). The adjustment techniques applied to the return levels are based on extreme value analysis and include climate factor and quantile-mapping approaches. Generally, we find that future return levels can be improved by adjustment, compared to obtaining them from raw scenario model data. The performance of the different methods depends on the timescale considered. On hourly timescales, the climate factor approach performs better than the quantile-mapping approaches. On daily timescales, the superior approach is to simply deduce future return levels from pseudo-observations, and the second-best choice is using the quantile-mapping approaches. These results are found in all European subregions considered. Applying the inter-model cross-validation against model ensemble medians instead of individual models does not change the overall conclusions much.


2014 ◽  
Vol 58 (3) ◽  
pp. 193-207 ◽  
Author(s):  
C Photiadou ◽  
MR Jones ◽  
D Keellings ◽  
CF Dewes

Extremes ◽  
2021 ◽  
Author(s):  
Laura Fee Schneider ◽  
Andrea Krajina ◽  
Tatyana Krivobokova

AbstractThreshold selection plays a key role in various aspects of statistical inference of rare events. In this work, two new threshold selection methods are introduced. The first approach measures the fit of the exponential approximation above a threshold and achieves good performance in small samples. The second method smoothly estimates the asymptotic mean squared error of the Hill estimator and performs consistently well over a wide range of processes. Both methods are analyzed theoretically, compared to existing procedures in an extensive simulation study and applied to a dataset of financial losses, where the underlying extreme value index is assumed to vary over time.


2021 ◽  
Author(s):  
Jeremy Rohmer ◽  
Rodrigo Pedreros ◽  
Yann Krien

<p>To estimate return levels of wave heights (Hs) induced by tropical cyclones at the coast, a commonly-used approach is to (1) randomly generate a large number of synthetic cyclone events (typically >1,000); (2) numerically simulate the corresponding Hs over the whole domain of interest; (3) extract the Hs values at the desired location at the coast and (4) perform the local extreme value analysis (EVA) to derive the corresponding return level. Step 2 is however very constraining because it often involves a numerical hydrodynamic simulator that can be prohibitive to run: this might limit the number of results to perform the local EVA (typically to several hundreds). In this communication, we propose a spatial stochastic simulation procedure to increase the database size of numerical results with synthetic maps of Hs that are stochastically generated. To do so, we propose to rely on a data-driven dimensionality-reduction method, either unsupervised (Principal Component Analysis) or supervised (Partial Least Squares Regression), that is trained with a limited number of pre-existing numerically simulated Hs maps. The procedure is applied to the Guadeloupe island and results are compared to the commonly-used approach applied to a large database of Hs values computed for nearly 2,000 synthetic cyclones (representative of 3,200 years – Krien et al., NHESS, 2015). When using only a hundred of cyclones, we show that the estimates of the 100-year return levels can be achieved with a mean absolute percentage error (derived from a bootstrap-based procedure) ranging between 5 and 15% around the coasts while keeping the width of the 95% confidence interval of the same order of magnitude than the one using the full database. Without synthetic Hs maps augmentation, the error and confidence interval width are both increased by nearly 100%. A careful attention is paid to the tuning of the approach by testing the sensitivity to the spatial domain size, the information loss due to data compression, and the number of cyclones. This study has been carried within the Carib-Coast INTERREG project (https://www.interreg-caraibes.fr/carib-coast).</p>


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