Statistical theory of extreme values and some practical applications; a series of lectures.

Bibliography: p. 48-49.

Extreme Precipitation Modelling Using Geostatistics and Machine Learning Algorithms

The paper presents an approach for mapping of precipitation data. The main goal is to perform spatial predictions and simulations of precipitation fields using geostatistical methods (ordinary kriging, kriging with external drift) as well as machine learning algorithms (neural networks). More practically, the objective is to reproduce simultaneously both the spatial patterns and the extreme values. This objective is best reached by models integrating geostatistics and machine learning algorithms. To demonstrate how such models work, two case studies have been considered: first, a 2-day accumulation of heavy precipitation and second, a 6-day accumulation of extreme orographic precipitation. The first example is used to compare the performance of two optimization algorithms (conjugate gradients and Levenberg-Marquardt) of a neural network for the reproduction of extreme values. Hybrid models, which combine geostatistical and machine learning algorithms, are also treated in this context. The second dataset is used to analyze the contribution of radar Doppler imagery when used as external drift or as input in the models (kriging with external drift and neural networks). Model assessment is carried out by comparing independent validation errors as well as analyzing data patterns.

Probabilistic structure of an annual extreme rainfall series of a coastal area of the State of São Paulo, Brazil

This study aimed to describe the probabilistic structure of the annual series of extreme daily rainfall (Preabs), available from the weather station of Ubatuba, State of São Paulo, Brazil (1935-2009), by using the general distribution of extreme value (GEV). The autocorrelation function, the Mann-Kendall test, and the wavelet analysis were used in order to evaluate the presence of serial correlations, trends, and periodical components. Considering the results obtained using these three statistical methods, it was possible to assume the hypothesis that this temporal series is free from persistence, trends, and periodicals components. Based on quantitative and qualitative adhesion tests, it was found that the GEV may be used in order to quantify the probabilities of the Preabs data. The best results of GEV were obtained when the parameters of this function were estimated using the method of maximum likelihood. The method of L-moments has also shown satisfactory results.

Factors contributing to the development of extreme North Atlantic cyclones and their relationship with the NAO

The occurrence of extreme cyclones is analysed in terms of their relationship to the NAO phase and the dominating environmental variables controlling their intensification. These are latent energy (equivalent potential temperature 850 hPa is used as an indicator), upper-air baroclinicity, horizontal divergence and jet stream strength. Cyclones over the North Atlantic are identified and tracked using a numerical algorithm, permitting a detailed analysis of their life cycles. Extreme cyclones are selected as the 10% most severe in terms of intensity. Investigations focus on the main strengthening phase of each cyclone. The environmental factors are related to the NAO, which affects the location and orientation of the cyclone tracks, thus explaining why extreme cyclones occur more (less) frequently during strong positive (negative) NAO phases. The enhanced number of extreme cyclones in positive NAO phases can be explained by the larger area with suitable growth conditions, which is better aligned with the cyclone tracks and is associated with increased cyclone life time and intensity. Moreover, strong intensification of cyclones is frequently linked to the occurrence of extreme values of growth factors in the immediate vicinity of the cyclone centre. Similar results are found for ECHAM5/OM1 for present day conditions, demonstrating that relationships between the environment factors and cyclones are also valid in the GCM. For future climate conditions (following the SRES A1B scenario), the results are similar, but a small increase of the frequency of extreme values is detected near the cyclone cores. On the other hand, total cyclone numbers decrease by 10% over the North Atlantic. An exception is the region near the British Isles, which features increased track density and intensity of extreme cyclones irrespective of the NAO phase. These changes are associated with an intensified jet stream close to Europe. Moreover, an enhanced frequency of explosive developments over the British Isles is found, leading to more frequent windstorms affecting Europe.

Non-stationary frequency analysis of extreme daily rainfall in Sao Paulo, Brazil

This work is an assessment of frequency of extreme values (EVs) of daily rainfall in the city of Sao Paulo. Brazil, over the period 1933-2005, based on the peaks-over-threshold (POT) and Generalized Pareto Distribution (GPD) approach. Usually. a GPD model is fitted to a sample of POT Values Selected With a constant threshold. However. in this work we use time-dependent thresholds, composed of relatively large p quantities (for example p of 0.97) of daily rainfall amounts computed from all available data. Samples of POT values were extracted with several Values of p. Four different GPD models (GPD-1, GPD-2, GPD-3. and GDP-4) were fitted to each one of these samples by the maximum likelihood (ML) method. The shape parameter was assumed constant for the four models, but time-varying covariates were incorporated into scale parameter of GPD-2. GPD-3, and GPD-4, describing annual cycle in GPD-2. linear trend in GPD-3, and both annual cycle and linear trend in GPD-4. The GPD-1 with constant scale and shape parameters is the simplest model. For identification of the best model among the four models WC used rescaled Akaike Information Criterion (AIC) with second-order bias correction. This criterion isolates GPD-3 as the best model, i.e. the one with positive linear trend in the scale parameter. The slope of this trend is significant compared to the null hypothesis of no trend, for about 98% confidence level. The non-parametric Mann-Kendall test also showed presence of positive trend in the annual frequency of excess over high thresholds. with p-value being virtually zero. Therefore. there is strong evidence that high quantiles of daily rainfall in the city of Sao Paulo have been increasing in magnitude and frequency over time. For example. 0.99 quantiles of daily rainfall amount have increased by about 40 mm between 1933 and 2005. Copyright (C) 2008 Royal Meteorological Society

Non-stationary frequency analysis of extreme daily rainfall in São Paulo, Brazil

This work is an assessment of frequency of extreme values (EVs) of daily rainfall in the city of São Paulo. Brazil, over the period 1933-2005, based on the peaks-over-threshold (POT) and Generalized Pareto Distribution (GPD) approach. Usually. a GPD model is fitted to a sample of POT Values Selected With a constant threshold. However. in this work we use time-dependent thresholds, composed of relatively large p quantities (for example p of 0.97) of daily rainfall amounts computed from all available data. Samples of POT values were extracted with several Values of p. Four different GPD models (GPD-1, GPD-2, GPD-3. and GDP-4) were fitted to each one of these samples by the maximum likelihood (ML) method. The shape parameter was assumed constant for the four models, but time-varying covariates were incorporated into scale parameter of GPD-2. GPD-3, and GPD-4, describing annual cycle in GPD-2. linear trend in GPD-3, and both annual cycle and linear trend in GPD-4. The GPD-1 with constant scale and shape parameters is the simplest model. For identification of the best model among the four models WC used rescaled Akaike Information Criterion (AIC) with second-order bias correction. This criterion isolates GPD-3 as the best model, i.e. the one with positive linear trend in the scale parameter. The slope of this trend is significant compared to the null hypothesis of no trend, for about 98% confidence level. The non-parametric Mann-Kendall test also showed presence of positive trend in the annual frequency of excess over high thresholds. with p-value being virtually zero. Therefore. there is strong evidence that high quantiles of daily rainfall in the city of São Paulo have been increasing in magnitude and frequency over time. For example. 0.99 quantiles of daily rainfall amount have increased by about 40 mm between 1933 and 2005. Copyright (C) 2008 Royal Meteorological Society

Statistical assessment of annual patterns in coastal extreme wave conditions

[EN]The annual cycle in extreme values of significant wave height is examined by transforming the timing ofthe storm peaks in a circular variable, with the aim of taking advantage of the many tests devised to explore uniformity on the circle. The use of four different but complementary uniformity tests makes possible a robust assessment of the annual cycle statistical significance. Seasonality of storms in a long time series of significant wave heights, measured in a coastal zone, is examined. The presence of a seasonal pattem is statistically beyond doubt.

Methods for Imputing Missing Values and Synthesizing Confidential Values for Continuous and Magnitude Data

Abstract

Continuous variable is one of the major data types collected by the survey organizations. It can be incomplete such that the data collectors need to fill in the missingness. Or, it can contain sensitive information which needs protection from re-identification. One of the approaches to protect continuous microdata is to sum them up according to different cells of features. In this thesis, I represents novel methods of multiple imputation (MI) that can be applied to impute missing values and synthesize confidential values for continuous and magnitude data.

The first method is for limiting the disclosure risk of the continuous microdata whose marginal sums are fixed. The motivation for developing such a method comes from the magnitude tables of non-negative integer values in economic surveys. I present approaches based on a mixture of Poisson distributions to describe the multivariate distribution so that the marginals of the synthetic data are guaranteed to sum to the original totals. At the same time, I present methods for assessing disclosure risks in releasing such synthetic magnitude microdata. The illustration on a survey of manufacturing establishments shows that the disclosure risks are low while the information loss is acceptable.

The second method is for releasing synthetic continuous micro data by a nonstandard MI method. Traditionally, MI fits a model on the confidential values and then generates multiple synthetic datasets from this model. Its disclosure risk tends to be high, especially when the original data contain extreme values. I present a nonstandard MI approach conditioned on the protective intervals. Its basic idea is to estimate the model parameters from these intervals rather than the confidential values. The encouraging results of simple simulation studies suggest the potential of this new approach in limiting the posterior disclosure risk.

The third method is for imputing missing values in continuous and categorical variables. It is extended from a hierarchically coupled mixture model with local dependence. However, the new method separates the variables into non-focused (e.g., almost-fully-observed) and focused (e.g., missing-a-lot) ones. The sub-model structure of focused variables is more complex than that of non-focused ones. At the same time, their cluster indicators are linked together by tensor factorization and the focused continuous variables depend locally on non-focused values. The model properties suggest that moving the strongly associated non-focused variables to the side of focused ones can help to improve estimation accuracy, which is examined by several simulation studies. And this method is applied to data from the American Community Survey.

Estimativa da probabilidade do evento extremo de precipitação de janeiro de 2000 no Vale do Paraíba, baseada na distribuição generalizada de pareto

Um evento extremo de precipitação ocorreu na primeira semana do ano 2000, de 1º a 5 de janeiro, no Vale do Paraíba, parte leste do Estado de São Paulo, Brasil, causando enorme impacto socioeconômico, com mortes e destruição. Este trabalho estudou este evento em 10 estações meteorológicas selecionadas que foram consideradas como aquelas tendo dados mais homogêneos do Que outras estações na região. O modelo de distribuição generalizada de Pareto (DGP) para valores extremos de precipitação de 5 dias foi desenvolvido, individualmente para cada uma dessas estações. Na modelagem da DGP, foi adotada abordagem não-estacionaria considerando o ciclo anual e tendência de longo prazo como co-variaveis. Uma conclusão desta investigação é que as quantidades de precipitação acumulada durante os 5 dias do evento estudado podem ser classificadas como extremamente raras para a região, com probabilidade de ocorrência menor do que 1% para maioria das estações, e menor do que 0,1% em três estações.

A descriptive analysis of the seasonal variation of physical oceanographic characteristics in the northern region of the Todos os Santos Bay (Bahia, Brazil)

The results obtained in the August and December 2003, August 2004 and January 2005 oceanographic campaigns in the northern region of the Todos os Santos Bay (lat. 12º44.5'S; long. 038º35.00'W) between the Madre de Deus and Maré islands are analyzed. Instruments of continuous and discrete samplings were used to measure hydrographic properties currents and tides. The water mass of the northern region of the bay is forced by semidiurnal and mesotides of form number 0.08 and the lunar component M2 height was estimated at 91cm. The time series of the surface currents indicated movements in the N/S direction, forced by the tide with maximum magnitudes of 0.73 m.s-1 on the December 2003 campaign. However, in August 2004 the currents were dominated by the wind stress forcing, with a maximum speed of 1.85 m.s-1 and SE direction. Near the bottom, the influence of the tide is not as evident, with a decrease in intensity due to internal and bottom friction, with a maximum velocity of 0.17 m.s-1. The thermal and haline structures were weakly horizontally, as well as vertically stratified, with extreme values varying in the intervals 23ºC (August, 2004) to 28ºC (December, 2003) and 31.0 psu (August, 2003) to 36.0 psu (December, 2003), respectively. Some conclusions may be drawn from these results: i) The signs of the dilution of the fresh water discharges of the Caípe, Mataripe and São Paulo rivers in the region under the influence of the RLAM were observed only during the winter periods, but in the summer the region was flooded by waters of oceanic origin and the salinities above 36.0 indicated TW mass intrusion; ii) The N-S circulation near the RLAM is strongly dominated by the tide, and the importance of the M2 component was unequivocal, however, the E-W component presented some tidal modulation away from abrupt bottom topographical changes, and iii) The residual series, calculated as the difference between the original and modeled, is about ¼ of the original and confirmed its semidiurnal character.