Time series conditional extremes

Graeme Auld; Ioannis Papastathopoulos

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arXiv · 2303.04447

Time series conditional extremes

Graeme Auld·Ioannis Papastathopoulos

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Abstract

Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types of extremal dependence in the time series such as asymptotic dependence, or Markov time series of finite order.\ In this paper, we develop statistical methodology for time series extremes based on recent probabilistic results that allow us to flexibly model the decay of a stationary time series after witnessing an extreme event.\ While Markov sequences of finite order are naturally accommodated by our approach, we consider a broader setup, based on the conditional extreme value model, which allows for a wide range of possible dependence structures in the time series.\ We consider inference based on Monte Carlo simulation and derive an upper bound for the variance of a commonly used importance sampler.\ Our methodology is illustrated via estimation of cluster functionals in simulated data and in a time series of daily maximum temperatures from Orleans, France.

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Graeme Auld, Ioannis Papastathopoulos. 2023-03-08. Time series conditional extremes. https://arxiv.org/abs/2303.04447

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