2023/08/28 by Christina Mathieu, Mathieu, Christina, Merle Mendel +4 · 1 citation
Computer Science · Economics, Econometrics and Finance · Environmental Science · #Anomaly Detection Techniques and Applications #Financial Risk and Volatility Modeling #Hydrology and Drought Analysis #stat.ME
paper · pdf · doi:10.48550/arxiv.2308.14625
openalex publication_date 2023/08/28 · openalex created_date 2023/08/31 · openalex updated_date 2026/07/28
The occurrence of extreme events like heavy precipitation or storms at a certain location often shows a clustering behaviour and is thus not described well by a Poisson process. We construct a general model for the inter-exceedance times in between extreme events which combines different candidate models for such behaviour. One of them is formulated in terms of clusters of dependent events with exponential inter-exceedance times in between clusters, while the other assumes independent events separated by heavy-tailed inter-exceedance times. We propose a modification of the Cramér-von Mises distance for fitting the combined model. The resulting estimator turns out to be competitive with specialised estimators if the data stem from one of the two submodels. Our modelling approach thus allows us to distinguish these different data generating mechanisms without the need of a-priori model selection. An application to mid-latitude winter cyclones illustrates the usefulness of our work as the combination of the two mechanisms improves the descriptions of such occurrences at many places.