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Problem definition Objectives General Extreme Value Distribution Non-stationary GEV model Parameter estimation Simulation based comparison of estimation methods

By S. El-adlouni, T. Ouarda, R. Roy and B. Bobée

Abstract

� In frequency analysis, data must generally be independent and identically distributed (i.i.d) which implies that they must meet the statistical criteria of independence, stationarity and homogeneity �In reality, the probability distribution of extreme events can change with time �Need to develop frequency analysis models which can handle various types of non-stationarity (trends, jumps, etc.) 3 Objectives of the study Develop tools for frequency analysis in a non-stationary framework �Include the potential impacts of climate change � Explore the case of trends or dependence on covariables � Bayesian framework 4 GEV distribution Y is GEV (Generalised Extreme Value) distributed if: FGEV y ⎜ y ⎝ α ( ) ( ) 1/ ⎛ κ ⎞ = exp ⎢ − 1 − −

Year: 2005
OAI identifier: oai:CiteSeerX.psu:10.1.1.173.6147
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