Extreme value theory based on the r largest annual events: a robust approach |
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| Authors: | D J Dupuis |
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| Institution: | Department of Applied Mathematics, Technical University of Nova Scotia, Halifax, N.S. B3J 2X4, Canada |
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| Abstract: | In Smith (1986, J. Hydrol. 86, 27–43), a family of statistical distributions and estimators for extreme values based on a fixed number r > = 1 of the largest annual events are presented. The method of estimation was numerical maximum likelihood. In this paper, we consider the robust estimation of parameters in such families of distributions. The estimation technique, which is based on optimal B-robust estimates, will assign weights to each observation and give estimates of the parameters based on the data which are well modeled by the distribution. Thus, observations which are not consistent with the proposed distribution can be identified and the validity of the model can be assessed. The method is illustrated on Venice sea level data. |
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| Keywords: | Author Keywords: Statistical distributions Numerical maximum likelihood Optimal B-robust estimates |
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