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A regional peaks-over-threshold model in a nonstationary climate

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  • Mathematics


WATER RESOURCES RESEARCH, VOL. ???, XXXX, DOI:10.1029/, A regional peaks-over-threshold model in a nonstationary1 climate2 M. Roth1,2, T. A. Buishand2, G. Jongbloed3, A. M. G. Klein Tank2, and J. H. van Zanten1 M. Roth and J. H. van Zanten, EURANDOM, Eindhoven University of Technology, PO Box 513, Eindhoven, 5600 MB, Netherlands. ([email protected]; [email protected]) T. A. Buishand and A. M. G. Klein Tank, Royal Netherlands Meteorological Institute, PO Box 201, 3730 AE De Bilt, Netherlands. ([email protected]; [email protected]) G. Jongbloed, Delft Institute of Applied Mathematics, Delft University of Technology, Mekelweg 4, 2628 CD Delft , Netherlands. ([email protected]) 1EURANDOM, Eindhoven University of Technology, Netherlands 2Royal Netherlands Meteorological Institute, De Bilt, Netherlands. 3Delft Institute of Applied Mathematics, Delft University of Technology, Netherlands D R A F T April 3, 2012, 11:36am D R A F T X - 2 ROTH ET AL.: REGIONAL PEAKS-OVER-THRESHOLD MODEL Abstract. Regional frequency analysis (RFA) is often used to reduce3 the uncertainty in the estimation of distribution parameters and quan-4 tiles. In this paper a regional peaks-over-threshold (POT) model is intro-5 duced that can be used to analyze precipitation extremes in a changing6 climate. We use a temporally varying threshold, which is determined by7 quantile regression for each site separately. The marginal distributions8 of the excesses are described by generalized Pareto (GP) distributions.9 The parameters of these distributions may vary over time and their spa-10 tial variation is modeled by the index flood (IF) approach. We consider11 different models for the temporal dependence of the GP parameters. Pa-12 rameter estimation is based on the framework of composite likelihood.13 Composite likelihood ratio tests that account for spatial dependence are14 used to test the significance of temporal trends in the model parameters15 and to tes

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