Extremal analysis of processes sampled at different frequencies |
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Authors: | M E Robinson & J A Tawn |
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Institution: | University of Surrey, Guildford, UK,;Lancaster University, UK |
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Abstract: | The observed extremes of a discrete time process depend on the process itself and the sampling frequency. We develop theoretical results which show how to account for the effect of sampling frequency on extreme values, thus enabling us to analyse systematically extremal data from series with different sampling rates. We present statistical methodology based on these results which we illustrate though simulations and by applications to sea-waves and rainfall data. |
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Keywords: | Extremal index Extreme value theory Generalized extreme value distribution Rainfall Sampling frequency Waves |
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