%0 Journal Article
%9 ACL : Articles dans des revues avec comité de lecture répertoriées par l'AERES
%A Palacios-Rodriguez, F.
%A Toulemonde, G.
%A Carreau, Julie
%A Opitz, T.
%T Generalized Pareto processes for simulating space-time extreme events : an application to precipitation reanalyses
%D 2020
%L fdi:010079834
%G ENG
%J Stochastic Environmental Research and Risk Assessment
%@ 1436-3240
%K Extreme-value theory ; Precipitation ; Risk analysis ; Space-time Pareto processes ; Stochastic simulation
%M ISI:000577245700001
%N 12
%P 2033-2052
%R 10.1007/s00477-020-01895-w
%U https://www.documentation.ird.fr/hor/fdi:010079834
%> https://www.documentation.ird.fr/intranet/publi/2020/10/010079834.pdf
%V 34
%W Horizon (IRD)
%X To better manage the risks of destructive natural disasters, impact models can be fed with simulations of extreme scenarios to study the sensitivity to temporal and spatial variability. We propose a semi-parametric stochastic framework that enables simulations of realistic spatio-temporal extreme fields using a moderate number of observed extreme space-time episodes to generate an unlimited number of extreme scenarios of any magnitude. Our framework draws sound theoretical justification from extreme value theory, building on generalized Pareto limit processes arising as limits for event magnitudes exceeding a high threshold. Specifically, we exploit asymptotic stability properties by decomposing extreme event episodes into a scalar magnitude variable (that is resampled), and an empirical profile process representing space-time variability. For illustration on hourly gridded precipitation data in Mediterranean France, we calculate various risk measures using extreme event simulations for yet unobserved magnitudes, and we highlight contrasted behavior for different definitions of the magnitude variable.
%$ 062 ; 020