08 Fakultät Mathematik und Physik

Permanent URI for this collectionhttps://elib.uni-stuttgart.de/handle/11682/9

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Author: search.filters.author.Oesting, Marco

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    Ordinal patterns in clusters of subsequent extremes of regularly varying time series
    (2020) Oesting, Marco; Schnurr, Alexander
    In this paper, we investigate temporal clusters of extremes defined as subsequent exceedances of high thresholds in a stationary time series. Two meaningful features of these clusters are the probability distribution of the cluster size and the ordinal patterns giving the relative positions of the data points within a cluster. Since these patterns take only the ordinal structure of consecutive data points into account, the method is robust under monotone transformations and measurement errors. We verify the existence of the corresponding limit distributions in the framework of regularly varying time series, develop non-parametric estimators and show their asymptotic normality under appropriate mixing conditions. The performance of the estimators is demonstrated in a simulated example and a real data application to discharge data of the river Rhine.
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    Implications of modeling seasonal differences in the extremal dependence of rainfall maxima
    (2022) Jurado, Oscar E.; Oesting, Marco; Rust, Henning W.
    For modeling extreme rainfall, the widely used Brown-Resnick max-stable model extends the concept of the variogram to suit block maxima, allowing the explicit modeling of the extremal dependence shown by the spatial data. This extremal dependence stems from the geometrical characteristics of the observed rainfall, which is associated with different meteorological processes and is usually considered to be constant when designing the model for a study. However, depending on the region, this dependence can change throughout the year, as the prevailing meteorological conditions that drive the rainfall generation process change with the season. Therefore, this study analyzes the impact of the seasonal change in extremal dependence for the modeling of annual block maxima in the Berlin-Brandenburg region. For this study, two seasons were considered as proxies for different dominant meteorological conditions: summer for convective rainfall and winter for frontal/stratiform rainfall. Using maxima from both seasons, we compared the skill of a linear model with spatial covariates (that assumed spatial independence) with the skill of a Brown-Resnick max-stable model. This comparison showed a considerable difference between seasons, with the isotropic Brown-Resnick model showing considerable loss of skill for the winter maxima. We conclude that the assumptions commonly made when using the Brown-Resnick model are appropriate for modeling summer (i.e., convective) events, but further work should be done for modeling other types of precipitation regimes.