{"title":"Regression models for change point data in extremes","authors":"F. Nascimento, Alan da Silva Assunção","doi":"10.1214/20-bjps488","DOIUrl":null,"url":null,"abstract":"Many extreme events are characterized by being always susceptible to outside influences that will modify their behavior at some point in time. The change point tool has been used in statistical models to detect when these changes occur. This paper presents a model based on a Bayesian approach that describes the behavior of extreme data regarding river quota, which may present more than one change point. In each one of the regimes, the GEV distribution is adjusted and each GEV parameter of each regime is written in function of presence of covariates. In the applications proposed here, the results showed that the model was able to accurately estimate the actual amount of change points in the series, and also showed that it was extremely important to consider them in the analysis, since it was verified that after the change of regime, the levels of return have changed considerably. The results were also able to show which months the occurrence of an extreme event is greater.","PeriodicalId":51242,"journal":{"name":"Brazilian Journal of Probability and Statistics","volume":null,"pages":null},"PeriodicalIF":0.6000,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Brazilian Journal of Probability and Statistics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1214/20-bjps488","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
Many extreme events are characterized by being always susceptible to outside influences that will modify their behavior at some point in time. The change point tool has been used in statistical models to detect when these changes occur. This paper presents a model based on a Bayesian approach that describes the behavior of extreme data regarding river quota, which may present more than one change point. In each one of the regimes, the GEV distribution is adjusted and each GEV parameter of each regime is written in function of presence of covariates. In the applications proposed here, the results showed that the model was able to accurately estimate the actual amount of change points in the series, and also showed that it was extremely important to consider them in the analysis, since it was verified that after the change of regime, the levels of return have changed considerably. The results were also able to show which months the occurrence of an extreme event is greater.
期刊介绍：
The Brazilian Journal of Probability and Statistics aims to publish high quality research papers in applied probability, applied statistics, computational statistics, mathematical statistics, probability theory and stochastic processes.
More specifically, the following types of contributions will be considered:
(i) Original articles dealing with methodological developments, comparison of competing techniques or their computational aspects.
(ii) Original articles developing theoretical results.
(iii) Articles that contain novel applications of existing methodologies to practical problems. For these papers the focus is in the importance and originality of the applied problem, as well as, applications of the best available methodologies to solve it.
(iv) Survey articles containing a thorough coverage of topics of broad interest to probability and statistics. The journal will occasionally publish book reviews, invited papers and essays on the teaching of statistics.
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