Permanent link to this recordhttp://hdl.handle.net/10754/550889
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AbstractEven though most work on change-point estimation focuses on changes in the mean, changes in the variance or in the tail distribution can lead to more extreme events. In this paper, we develop a new method of detecting and estimating the change-points in the tail of multiple time series data. In addition, we adapt existing tail change-point detection methods to our specific problem and conduct a thorough comparison of different methods in terms of performance on the estimation of change-points and computational time. We also examine three locations on the U.S. northeast coast and demonstrate that the methods are useful for identifying changes in seasonally extreme warm temperatures.
CitationDetecting change-points in extremes 2015, 8 (1):19 Statistics and Its Interface
PublisherInternational Press of Boston
JournalStatistics and Its Interface