How long should a block be?

Leo Belzile (HEC Montreal)

Wednesday 22nd April 12:00-13:00
Maths 311B

Abstract

The block maximum method, whereby a generalized extreme value (GEV) distribution is used to approximate that of the maximum of a block of consecutive observations, is widely used in applications. The quality of the GEV approximation may be poor if the block is too small, but surprisingly little attention seems to have been paid to choosing its length.  We propose likelihood-based and graphical diagnostics to determine whether blocks are long enough to justify the approximation, study our ideas by simulation, and illustrate them with river flow and
wind speed data. The work is joint with Anthony Davison (EPFL).

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