Contributions to Likelihood-Based Modelling of Extreme Values

xtreme value analysis is concerned with the modelling of extreme events such as floods and heatwaves, which can have large impacts. Statistical modelling can be useful to better assess risks even if, due to scarcity of measurements, there is inherently very large residual uncertainty in any analysis. Driven by the increase in environmental databases, spatial modelling of extremes has expanded rapidly in the last decade. This thesis presents contributions to such analysis. The first chapter is about likelihood-based inference in the univariate setting and investigates the use of bias-correction and higher-order asymptotic methods for extremes, highlighting through examples and illustrations the unique challenge posed by data scarcity. We focus on parametric modelling of extreme values, which relies on limiting distributional results and for which, as a result, uncertainty quantification is complicated. We find that, in certain cases, small-sample asymptotic methods can give improved inference by reducing the error rate of confidence intervals. Two data illustrations, linked to assessment of the frequency of extreme rainfall episodes in Venezuela and the analysis of survival of supercentenarians, illustrate the methods developed. In the second chapter, we review the major methods for the analysis of spatial extremes models. We highlight the similarities and provide a thorough literature review along with novel simulation algorithms. The methods described therein are made available through a statistical software package. The last chapter focuses on estimation for a Bayesian hierarchical model derived from a multivariate generalized Pareto process. We review approaches for the estimation of censored components in models derived from (log)-elliptical distributions, paying particular attention to the estimation of a high-dimensional Gaussian distribution function via Monte Carlo methods. The impacts of model misspecification and of censoring are explored through extensive simulations and we conclude with a case study of rainfall extremes in Eastern Switzerland.

Davison, Anthony C.
Lausanne, EPFL

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 Record created 2019-07-29, last modified 2019-08-28

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