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Semi-parametric resampling with extremes

Abstract : Nonparametric resampling methods such as Direct Sampling are powerful tools to simulate new datasets preserving important data features such as spatial patterns from observed datasets while using only minimal assumptions. However, such methods cannot generate extreme events beyond the observed range of data values. We here propose using tools from extreme value theory for stochastic processes to extrapolate observed data towards yet unobserved high quantiles. Original data are first enriched with new values in the tail region, and then classical resampling algorithms are applied to enriched data. In a first approach to enrichment that we label "naive resampling'', we generate an independent sample of the marginal distribution while keeping the rank order of the observed data. We point out inaccuracies of this approach around the most extreme values, and therefore develop a second approach that works for datasets with many replicates. It is based on the asymptotic representation of extreme events through two stochastically independent components: a magnitude variable, and a profile field describing spatial variation. To generate enriched data, we fix a target range of return levels of the magnitude variable, and we resample magnitudes constrained to this range. We then use the second approach to generate heatwave scenarios of yet unobserved magnitude over France, based on daily temperature reanalysis training data for the years 2010 to 2016.
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https://hal.inrae.fr/hal-03313780
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Submitted on : Wednesday, August 4, 2021 - 4:15:48 PM
Last modification on : Thursday, August 5, 2021 - 3:10:47 AM

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Thomas Opitz, Denis Allard, Gregoire Mariethoz. Semi-parametric resampling with extremes. Spatial Statistics, Elsevier, 2021, 42, pp.100445. ⟨10.1016/j.spasta.2020.100445⟩. ⟨hal-03313780⟩

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