An improved method of extreme value analysis

Lasse Makkonen; Maria Tikanmäki

doi:10.1016/j.hydroa.2018.100012

An improved method of extreme value analysis

Lasse Makkonen^*
, Maria Tikanmäki

^*Corresponding author for this work

Research output: Contribution to journal › Article › Scientific › peer-review

29 Citations (Scopus)

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 language	English
Article number	100012
Number of pages	7
Journal	Journal of Hydrology X
Volume	2
DOIs	https://doi.org/10.1016/j.hydroa.2018.100012
Publication status	Published - Jan 2019
MoE publication type	Not Eligible

Funding

This work was financially supported by Ministry of Environment, Finland and the Academy of Finland, grant 268925.

Keywords

extremes
extreme value analysis
statistical inference
flood frequency analysis

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10.1016/j.hydroa.2018.100012

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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.",

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AU - Tikanmäki, Maria

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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

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U2 - 10.1016/j.hydroa.2018.100012

DO - 10.1016/j.hydroa.2018.100012

M3 - Article

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VL - 2

JO - Journal of Hydrology X

JF - Journal of Hydrology X

M1 - 100012

ER -

An improved method of extreme value analysis

Abstract

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Keywords

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