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An exponential–gamma mixture model for extreme Santa Ana winds
Author(s) -
Bopp Gregory P.,
Shaby Benjamin A.
Publication year - 2017
Publication title -
environmetrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.68
H-Index - 58
eISSN - 1099-095X
pISSN - 1180-4009
DOI - 10.1002/env.2476
Subject(s) - markov chain monte carlo , extreme value theory , censoring (clinical trials) , mathematics , statistics , frequentist inference , bayesian probability , bayesian inference , econometrics , statistical physics , physics
We analyze the behavior of extreme winds occurring in Southern California during the Santa Ana wind season using a latent mixture model. This mixture representation is formulated as a hierarchical Bayesian model and fit using Markov chain Monte Carlo. The two‐stage model results in generalized Pareto margins for exceedances and generates temporal dependence through a latent Markov process. This construction induces asymptotic independence in the response, while allowing for dependence at extreme, but subasymptotic, levels. We compare this model with a frequentist analogue where inference is performed via maximum pairwise likelihood. We use interval censoring to account for data quantization and estimate the extremal index and probabilities of multiday occurrences of extreme Santa Ana winds over a range of high thresholds.