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Journal Articles Extremes Year : 2010

Conditional extremes from heavy-tailed distributions: An application to the estimation of extreme rainfall return levels

Abstract

This paper is dedicated to the estimation of extreme quantiles and the tail index from heavy-tailed distributions when a covariate is recorded simultaneously with the quantity of interest. A nearest neighbor approach is used to construct our estimators. Their asymptotic normality is established under mild regularity conditions and their finite sample properties are illustrated on a simulation study. An application to the estimation of pointwise return levels of extreme rainfalls in the Cevennes-Vivarais region is provided.
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Dates and versions

hal-00371757 , version 1 (30-03-2009)
hal-00371757 , version 2 (22-09-2009)
hal-00371757 , version 3 (07-12-2009)
hal-00371757 , version 4 (23-04-2013)

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Cite

Laurent Gardes, Stéphane Girard. Conditional extremes from heavy-tailed distributions: An application to the estimation of extreme rainfall return levels. Extremes, 2010, 13 (2), pp.177-204. ⟨10.1007/s10687-010-0100-z⟩. ⟨hal-00371757v4⟩
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