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Automating Peak-over-Threshold with the Information Matrix Test

Automating Peak-over-Threshold with the Information Matrix Test. Sophie Fukutome, Mark Liniger MeteoSwiss Maria Süveges ISDC Data Center for Astrophysics, Geneva. Outline. Task Information Matrix Test → what does it test? Algorithm → how do we use it?

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Automating Peak-over-Threshold with the Information Matrix Test

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  1. Automating Peak-over-Threshold with the Information Matrix Test Sophie Fukutome, Mark Liniger MeteoSwiss Maria Süveges ISDC Data Center for Astrophysics, Geneva

  2. Outline • Task • Information Matrix Test → what does it test? • Algorithm → how do we use it? • Applications → daily, hourly precipitation

  3. warnings media insurance business MeteoSwiss engineering Task

  4. Wind 10-minute gust max, max daily mean Precipitation 10-minute, 1-hour, 3-hour, 6-hour, 12-hour, 1-day, 2-day, 3-day, 4-day, 5-day sums Temperature Fresh snow max/min daily mean, max daily max, min daily min 1-day, 2-day, 3-day, 4-day, 5-day sums Task AUTOMATIC!!!

  5. Peak-over-Threshold threshold Gen. Pareto Distr. (GPD) automation • use Information Matrix Test • to select • threshold • run parameter Task Gen. Extreme Value Distr. (GEV) Block Maxima max/year

  6. Information Matrix Test Summer daily precipitation Chateau d‘Oex daily precipitation time

  7. IMT daily precipitation threshold time

  8. Information Matrix Test GPD threshold time

  9. Information Matrix Test GPD threshold Poisson

  10. run parameter: min. distance between independent events Information Matrix Test GPD threshold Poisson • select • threshold • run parameter • with best model • of inter-cluster times Exponential

  11. IMT > 3.84: poor fit poor fit IMT < 3.84: acceptable fit IMT ≈ 0: best fit good fit run parameter threshold Information Matrix Test Süveges & Davison, 2010 3.84

  12. Algorithm

  13. less obs more obs Algorithm IMT < 0.05

  14. less obs more obs Algorithm IMT < 0.05

  15. shape threshold mean exceedance shape 30y return level Summer daily precipitation Algorithm Chateau d‘Oex

  16. shape threshold mean exceedance shape 30y return level Summer daily precipitation Algorithm Geneva

  17. shape threshold mean exceedance shape 30y return level Summer daily precipitation Algorithm Locarno

  18. Applications: hourly precipitation Engelberg: Summer

  19. Applications: daily precipitation 30-year return levels Summer Winter

  20. Applications: hourly precipitation 30-year return levels Summer

  21. Conclusions Summary • The Information Matrix Test can be used to select threshold and run parameter automatically • selected thresholds gen. compatible with classical diagnostics • results agree with climatology • More objective selection based on theoretical criteria Outlook • Other aggregations, other parameters • Improve algorithm Thank you!...

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