Dynamic flood modeling: combining Hurst and Gumbel's approach

Arthur Charpentier and David Sibaï
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David Sibaï: ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris

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Abstract: When working on river floods - annual river levels maxima - , two approaches are usually considered: one inspired from Emil Gumbel where annual maxima are supposed to be i.i.d. and distributed according to Gumbel's distribution, and one inspired from Edwin Hurst where annual maxima are strongly dependent, and exhibit long range memory. This paper tries to solve this apparent paradox by deriving a dynamic model inspired from financial models, which does not take into account annual maxima only but also threshold exceedances. It studies the implications of such a paradox in terms of return period - a notion valid as long as the data are i.i.d - and of extremal events.

Keywords: frequency analysis; bivariate point process; ACD models (search for similar items in EconPapers)
Date: 2008
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Published in Environmetrics, 2008, 20, pp.32-52. ⟨10.1002/env.909⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00347260

DOI: 10.1002/env.909

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