Počet záznamů: 1

Coverage probability of bootstrap confidence intervals in heavy-tailed frequency models, with application to precipitation data

  1. 1.
    0350698 - UFA-U 2011 RIV AT eng J - Článek v odborném periodiku
    Kyselý, Jan
    Coverage probability of bootstrap confidence intervals in heavy-tailed frequency models, with application to precipitation data.
    Theoretical and Applied Climatology. Roč. 101, 3-4 (2010), s. 345-361 ISSN 0177-798X
    Grant CEP: GA AV ČR KJB300420801
    Výzkumný záměr: CEZ:AV0Z30420517
    Klíčová slova: bootstrap * extreme value analysis * confidence intervals * heavy-tailed distributions * precipitation amounts
    Kód oboru RIV: DG - Vědy o atmosféře, meteorologie
    Impakt faktor: 1.684, rok: 2010

    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.
    Trvalý link: http://hdl.handle.net/11104/0190631