Extremal analysis of processes sampled at different frequencies. (English) Zbl 0976.62093

Robinson, Michael E.; Tawn, Jonathan A.

J. R. Stat. Soc., Ser. B, Stat. Methodol. 62, No. 1, 117-135 (2000).

Summary: The observed extremes of a discrete time process depend on the process itself and the sampling frequency. We develop theoretical results which show how to account for the effect of sampling frequency on extreme values, thus enabling us to analyse systematically extremal data from series with different sampling rates. We present statistical methodology based on these results which we illustrate through simulations and by applications to sea-waves and rainfall data.

MSC:

62M99	Inference from stochastic processes
60G70	Extreme value theory; extremal stochastic processes
62P12	Applications of statistics to environmental and related topics

Keywords:

extremal index; generalized extreme value distribution; rainfall; sampling frequency; waves; extreme values