The Annals of Applied Statistics

Ground-level ozone: Evidence of increasing serial dependence in the extremes

Debbie J. Dupuis and Luca Trapin

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Abstract

As exposure to successive episodes of high ground-level ozone concentrations can result in larger changes in respiratory function than occasional exposure buffered by lengthy recovery periods, the analysis of extreme values in a series of ozone concentrations requires careful consideration of not only the levels of the extremes but also of any dependence appearing in the extremes of the series. Increased dependence represents increased health risks and it is thus important to detect any changes in the temporal dependence of extreme values. In this paper we establish the first test for a change point in the extremal dependence of a stationary time series. The test is flexible, easy to use and can be extended along several lines. The asymptotic distributions of our estimators and our test are established. A large simulation study verifies the good finite sample properties. The test allows us to show that there has been a significant increase in the serial dependence of the extreme levels of ground-level ozone concentrations in Bloomsbury (UK) in recent years.

Article information

Source
Ann. Appl. Stat., Volume 13, Number 1 (2019), 34-59.

Dates
Received: February 2018
Revised: May 2018
First available in Project Euclid: 10 April 2019

Permanent link to this document
https://projecteuclid.org/euclid.aoas/1554861640

Digital Object Identifier
doi:10.1214/18-AOAS1183

Mathematical Reviews number (MathSciNet)
MR3937420

Zentralblatt MATH identifier
07057419

Keywords
Threshold exceedances hierarchical models trawl process change point

Citation

Dupuis, Debbie J.; Trapin, Luca. Ground-level ozone: Evidence of increasing serial dependence in the extremes. Ann. Appl. Stat. 13 (2019), no. 1, 34--59. doi:10.1214/18-AOAS1183. https://projecteuclid.org/euclid.aoas/1554861640


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