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dc.contributor.authorCamilo, Daniela Castro
dc.contributor.authorHuser, Raphaël
dc.date.accessioned2017-12-28T07:32:14Z
dc.date.available2017-12-28T07:32:14Z
dc.date.issued2017-10-02
dc.identifier.urihttp://hdl.handle.net/10754/626512.1
dc.description.abstractIn order to model the complex non-stationary dependence structure of precipitation extremes over the entire contiguous U.S., we propose a flexible local approach based on factor copula models. Our sub-asymptotic spatial modeling framework yields non-trivial tail dependence structures, with a weakening dependence strength as events become more extreme, a feature commonly observed with precipitation data but not accounted for in classical asymptotic extreme-value models. To estimate the local extremal behavior, we fit the proposed model in small regional neighborhoods to high threshold exceedances, under the assumption of local stationarity. This allows us to gain in flexibility, while making inference for such a large and complex dataset feasible. Adopting a local censored likelihood approach, inference is made on a fine spatial grid, and local estimation is performed taking advantage of distributed computing resources and of the embarrassingly parallel nature of this estimation procedure. The local model is efficiently fitted at all grid points, and uncertainty is measured using a block bootstrap procedure. An extensive simulation study shows that our approach is able to adequately capture complex, non-stationary dependencies, while our study of U.S. winter precipitation data reveals interesting differences in local tail structures over space, which has important implications on regional risk assessment of extreme precipitation events. A comparison between past and current data suggests that extremes in certain areas might be slightly wider in extent nowadays than during the first half of the twentieth century.
dc.publisherarXiv
dc.relation.urlhttp://arxiv.org/abs/1710.00875v1
dc.relation.urlhttp://arxiv.org/pdf/1710.00875v1
dc.rightsArchived with thanks to arXiv
dc.titleLocal likelihood estimation of complex tail dependence structures in high dimensions, applied to US precipitation extremes
dc.typePreprint
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.eprint.versionPre-print
dc.identifier.arxivid1710.00875
kaust.personCamilo, Daniela Castro
kaust.personHuser, Raphaël
refterms.dateFOA2018-06-13T12:45:38Z


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