Philippe Naveau, Laboratoire des Sciences du Climat et de l'Environnement, IPSL-CNRS, France
Detecting changes in multivariate extremes from climatological time series聽
Joint work with Sebastian Engelke (Geneva University) and Chen Zhou (Erasmus University Rotterdam)聽
Many effects of climate change seem to be reflected not in the mean temperatures, precipitation or other聽environmental variables, but rather in the frequency and severity of the extreme events in the distributional聽tails. The most serious climate-related disasters are caused by compound events that result from an unfortunate聽combination of several variables. Detecting changes in size or frequency of such compound events requires a聽statistical methodology that efficiently uses the largest observations in the sample.
We propose a simple, non-parametric test that decides whether two multivariate distributions exhibit the same tail behavior. The test is聽based on the entropy, namely Kullback鈥揕eibler divergence, between exceedances over a high threshold of the聽two multivariate random vectors. We study the properties of the test and further explore its effectiveness for聽finite sample sizes.聽
Our main application is the analysis of daily heavy聽 rainfall times series in France (1976 -2015). Our goal in this application is to detect if multivariate聽 extremal dependence structure in heavy rainfall change according to seasons and regions.聽