Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology

Dutfoy Anne (), Parey Sylvie () and Roche Nicolas ()
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Dutfoy Anne: EDF R&D, 1, avenue du Général de Gaulle, 92141 CLAMART Cedex, France
Parey Sylvie: EDF R&D, 6 quai Watier, 78401 Chatou Cedex, France
Roche Nicolas: EDF R&D, 6 quai Watier, 78401 Chatou Cedex, France

Dependence Modeling, 2014, vol. 2, issue 1, 19

Abstract: In this paper, we provide a tutorial on multivariate extreme value methods which allows to estimate the risk associated with rare events occurring jointly. We draw particular attention to issues related to extremal dependence and we insist on the asymptotic independence feature. We apply the multivariate extreme value theory on two data sets related to hydrology and meteorology: first, the joint flooding of two rivers, which puts at risk the facilities lying downstream the confluence; then the joint occurrence of high speed wind and low air temperatures, which might affect overhead lines.

Keywords: Multivariate extreme value theory; Joint extreme hazards; Asymptotic independence; 62G32; 62H05; 62H12; Multivariate extreme value theory; Joint extreme hazards; Asymptotic independence; 62G32; 62H05; 62H12 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:2:y:2014:i:1:p:19:n:3

DOI: 10.2478/demo-2014-0003

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