An improved method of extreme value analysis

Lasse Makkonen (Corresponding Author), Maria Tikanmäki

Research output: Contribution to journalArticleResearchpeer-review

Abstract

An improved method to estimate the probability of extreme events from independent observations is presented. The method, called VWLS, is based on minimizing the variance of order-ranked observations plotted according to their true probability and applying the least squares fitting. We show by Monte-Carlo simulations that this method provides estimates for the extremes that are considerably better than obtained by presently available EVA methods, particularly for small data sets. An additional benefit of VWLS is that its application requires no subjective methodological decisions by the user.
Original languageEnglish
Article number100012
Number of pages7
JournalJournal of Hydrology X
Volume2
DOIs
Publication statusPublished - Jan 2019
MoE publication typeNot Eligible

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extreme event
method
analysis
simulation
decision

Keywords

  • extremes
  • extreme value analysis
  • statistical inference
  • flood frequency analysis

Cite this

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title = "An improved method of extreme value analysis",
abstract = "An improved method to estimate the probability of extreme events from independent observations is presented. The method, called VWLS, is based on minimizing the variance of order-ranked observations plotted according to their true probability and applying the least squares fitting. We show by Monte-Carlo simulations that this method provides estimates for the extremes that are considerably better than obtained by presently available EVA methods, particularly for small data sets. An additional benefit of VWLS is that its application requires no subjective methodological decisions by the user.",
keywords = "extremes, extreme value analysis, statistical inference, flood frequency analysis",
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An improved method of extreme value analysis. / Makkonen, Lasse (Corresponding Author); Tikanmäki, Maria.

In: Journal of Hydrology X, Vol. 2, 100012, 01.2019.

Research output: Contribution to journalArticleResearchpeer-review

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AU - Makkonen, Lasse

AU - Tikanmäki, Maria

PY - 2019/1

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AB - An improved method to estimate the probability of extreme events from independent observations is presented. The method, called VWLS, is based on minimizing the variance of order-ranked observations plotted according to their true probability and applying the least squares fitting. We show by Monte-Carlo simulations that this method provides estimates for the extremes that are considerably better than obtained by presently available EVA methods, particularly for small data sets. An additional benefit of VWLS is that its application requires no subjective methodological decisions by the user.

KW - extremes

KW - extreme value analysis

KW - statistical inference

KW - flood frequency analysis

U2 - 10.1016/j.hydroa.2018.100012

DO - 10.1016/j.hydroa.2018.100012

M3 - Article

VL - 2

JO - Journal of Hydrology X

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