As exposure to successive episodes of high ground-level ozone concentrations can result in larger changes in respiratory function than occasional exposure buffered by lengthy recovery periods, the analysis of extreme values in a series of ozone concentrations requires careful consideration of not only the levels of the extremes but also of any dependence appearing in the extremes of the series. Increased dependence represents increased health risks and it is thus important to detect any changes in the temporal dependence of extreme values. In this paper we establish the first test for a change point in the extremal dependence of a stationary time series. The test is flexible, easy to use and can be extended along several lines. The asymptotic distributions of our estimators and our test are established. A large simulation study verifies the good finite sample properties. The test allows us to show that there has been a significant increase in the serial dependence of the extreme levels of ground-level ozone concentrations in Bloomsbury (UK) in recent years.

Dupuis, D. J., Trapin, L., Ground-level ozone: Evidence of increasing serial dependence in the extremes, <<THE ANNALS OF APPLIED STATISTICS>>, 2019; 13 (1): 34-59. [doi:10.1214/18-AOAS1183] [http://hdl.handle.net/10807/139459]

Ground-level ozone: Evidence of increasing serial dependence in the extremes

Trapin, Luca
2019

Abstract

As exposure to successive episodes of high ground-level ozone concentrations can result in larger changes in respiratory function than occasional exposure buffered by lengthy recovery periods, the analysis of extreme values in a series of ozone concentrations requires careful consideration of not only the levels of the extremes but also of any dependence appearing in the extremes of the series. Increased dependence represents increased health risks and it is thus important to detect any changes in the temporal dependence of extreme values. In this paper we establish the first test for a change point in the extremal dependence of a stationary time series. The test is flexible, easy to use and can be extended along several lines. The asymptotic distributions of our estimators and our test are established. A large simulation study verifies the good finite sample properties. The test allows us to show that there has been a significant increase in the serial dependence of the extreme levels of ground-level ozone concentrations in Bloomsbury (UK) in recent years.
2019
Inglese
Dupuis, D. J., Trapin, L., Ground-level ozone: Evidence of increasing serial dependence in the extremes, <<THE ANNALS OF APPLIED STATISTICS>>, 2019; 13 (1): 34-59. [doi:10.1214/18-AOAS1183] [http://hdl.handle.net/10807/139459]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/139459
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact