Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights

The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, it has originally been introduced under the assumption of independently and identically distributed (iid) data. Since environmental data often exhibits a time series structure, this assumption is likely to be violated due to short- and long-term dependencies in practical settings, leading to clustering of high-threshold exceedances. In this paper, we first review popular approaches that either focus on modelling short- or long-range dynamics explicitly. In particular, we consider conditional POT variants and the Mittag–Leffler distribution modelling waiting times between exceedances. Further, we propose a new two-step approach capturing both short- and long-range correlations simultaneously. We suggest the autoregressive fractionally integrated moving average peaks-over-threshold (ARFIMA-POT) approach, which in a first step fits an ARFIMA model to the original series and then in a second step utilises a classical POT model for the residuals. Applying these models to an oceanographic time series of significant wave heights measured on the Sefton coast (UK), we find that neither solely modelling short- nor long-range dependencies satisfactorily explains the clustering of extremes. The ARFIMA-POT approach, however, provides a significant improvement in terms of model fit, underlining the need for models that jointly incorporate short- and long-range dependence to address extremal clustering, and their theoretical justification.

Data Geometry and Extreme Value Distribution

In extreme values theory, there exist two approaches about data treatment: block maxima and peaks-over-threshold (POT) methods, which take in account data over a fixed value. But, those approaches are limited. We show that if a certain geometry is modeled with stochastic graphs, probabilities computed with Generalized Extreme Value (GEV) Distribution can be deflated. In other words, taking data geometry in account change extremes distribution. Otherwise, it appears that if the density characterizing the states space of data system is uniform, and if the quantile studied is positive, then the Weibull distribution is insensitive to data geometry, when it is an area attraction, and the Fréchet distribution becomes the less inflationary.

Comparison of Annual Maximum and Peaks Over Threshold Methods with Automated Threshold Selection in Flood Frequency Analysis: A Case Study for Australia

Flood frequency analysis (FFA) enables fitting of distribution functions to observed flow data for estimation of flood quantiles. Two main approaches, Annual Maximum (AM) and peaks-over-threshold (POT) are adopted for FFA. POT approach is under-employed due to its complexity and uncertainty associated with the threshold selection and independence criteria for selecting peak flows. This study evaluates the POT and AM approaches using data from 188 gauged stations in south-east Australia. POT approach adopted in this study applies a different average numbers of events per year fitted with Generalised Pareto (GP) distribution with an automated threshold detection method. The POT model extends its parametric approach to Maximum Likelihood Estimator (MLE) and Point Moment Weighted Unbiased (PMWU) method. Generalised Extreme Value (GEV) distribution using L-moment estimator is used for AM approach. It has been found that there is a large difference in design flood estimates between the AM and POT approaches for smaller average recurrence intervals (ARI), with a median difference of 25% for 1.01 year ARI and 5% for 50 and 100 years ARIs.