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Coverage probability of bootstrap confidence intervals in heavy-tailed frequency models, with application to precipitation data
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SYSNO ASEP 0350698 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Coverage probability of bootstrap confidence intervals in heavy-tailed frequency models, with application to precipitation data Author(s) Kyselý, Jan (UFA-U) RID, ORCID Source Title Theoretical and Applied Climatology - ISSN 0177-798X
Roč. 101, 3-4 (2010), s. 345-361Number of pages 17 s. Language eng - English Country AT - Austria Keywords bootstrap ; extreme value analysis ; confidence intervals ; heavy-tailed distributions ; precipitation amounts Subject RIV DG - Athmosphere Sciences, Meteorology R&D Projects KJB300420801 GA AV ČR - Academy of Sciences of the Czech Republic (AV ČR) CEZ AV0Z30420517 - UFA-U, BC-A (2005-2011) UT WOS 000280578900009 DOI 10.1007/s00704-009-0190-1 Annotation The paper compares coverage probabilities of confidence intervals of high quantiles (5-yr to 200-yr return values) constructed by the nonparametric and parametric bootstrap in frequency analysis of heavy-tailed data, typical for maxima of precipitation amounts. The simulation experiments are based on a wide range of models used for precipitation extremes (Generalized Extreme Value, Generalized Pareto, Generalized Logistic, and mixed distributions). We show that both bootstrap methods underestimate the width of the confidence intervals but that the parametric bootstrap is clearly superior to the nonparametric one. Workplace Institute of Atmospheric Physics Contact Kateřina Adamovičová, adamovicova@ufa.cas.cz, Tel.: 272 016 012 ; Kateřina Potužníková, kaca@ufa.cas.cz, Tel.: 272 016 019 Year of Publishing 2011
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