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Pré-Publication, Document De Travail Année : 2023

Robust and non asymptotic estimation of probability weighted moments with application to extreme value analysis

Résumé

In extreme value theory and other related risk analysis fields, probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value distributions. This method-of-moment technique can be applied when second moments are finite, a reasonable assumption in many environmental domains like climatological and hydrological studies. Three advantages of PWM estimators can be put forward: their simple interpretations, their rapid numerical implementation and their close connection to the well-studied class of U-statistics. Concerning the later, this connection leads to precise asymptotic properties, but non asymptotic bounds have been lacking when off-the-shelf techniques (Chernoff method) cannot be applied, as exponential moment assumptions become unrealistic in many extreme value settings. In addition, large values analysis is not immune to the undesirable effect of outliers, for example, defective readings in satellite measurements or possible anomalies in climate model runs. Recently, the treatment of outliers has sparked some interest in extreme value theory, but results about finite sample bounds in a robust extreme value theory context are yet to be found, in particular for PWMs or tail index estimators. In this work, we propose a new class of robust PWM estimators, inspired by the median-of-means framework of Devroye et al. (2016). This class of robust estimators is shown to satisfy a sub-Gaussian inequality when the assumption of finite second moments holds. Such non asymptotic bounds are also derived under the general contamination model. Our main proposition confirms theoretically the trade-off between efficiency and robustness pointed out by Brazauskas & Serfling (2006). Our simulation study indicates that, while classical estimators of PWMs can be highly sensitive to outliers, our new approach remains weakly affected by the degree contamination.
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Dates et versions

hal-04131622 , version 1 (16-06-2023)

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  • HAL Id : hal-04131622 , version 1

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Anna Ben-Hamou, Philippe Naveau, Maud Thomas. Robust and non asymptotic estimation of probability weighted moments with application to extreme value analysis. 2023. ⟨hal-04131622⟩
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