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Extremal analysis of short series with outliers: sea‐levels and athletics records
Author(s) -
Barão M. I.,
Tawn J. A.
Publication year - 1999
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.1111/1467-9876.00166
Subject(s) - extreme value theory , outlier , bivariate analysis , univariate , homogeneity (statistics) , statistics , series (stratigraphy) , mathematics , econometrics , geography , multivariate statistics , geology , paleontology
The analysis of extreme values is often required from short series which are biasedly sampled or contain outliers. Data for sea‐levels at two UK east coast sites and data on athletics records for women's 3000 m track races are shown to exhibit such characteristics. Univariate extreme value methods provide a poor quantification of the extreme values for these data. By using bivariate extreme value methods we analyse jointly these data with related observations, from neighbouring coastal sites and 1500 m races respectively. We show that using bivariate methods provides substantial benefits, both in these applications and more generally with the amount of information gained being determined by the degree of dependence, the lengths and the amount of overlap of the two series, the homogeneity of the marginal characteristics of the variables and the presence and type of the outlier.