Articles | Volume 24, issue 4
https://doi.org/10.5194/npg-24-737-2017
https://doi.org/10.5194/npg-24-737-2017
Research article
 | 
06 Dec 2017
Research article |  | 06 Dec 2017

Optimal heavy tail estimation – Part 1: Order selection

Manfred Mudelsee and Miguel A. Bermejo

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Subject: Time series, machine learning, networks, stochastic processes, extreme events | Topic: Climate, atmosphere, ocean, hydrology, cryosphere, biosphere
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Cited articles

Anderson, P. L. and Meerschaert, M. M.: Modeling river flows with heavy tails, Water Resour. Res., 34, 2271–2280, 1998.
Barabási, A.-L.: The origin of bursts and heavy tails in human dynamics, Nature, 435, 207–211, 2005.
Cronin, T. M.: Paleoclimates: Understanding Climate Change Past and Present. Columbia University Press, New York, 441 p., 2010.
Danielsson, J., de Haan, L., Peng, L., and de Vries, C. G.: Using a bootstrap method to choose the sample fraction in tail index estimation, J. Multivar. Anal., 76, 226–248, 2001.
D'Arrigo, R., Abram, N., Ummenhofer, C., Palmer, J., and Mudelsee, M.: Reconstructed streamflow for Citarum river, Java, Indonesia: Linkages to tropical climate dynamics, Clim. Dynam., 36, 451–462, 2011.
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Short summary
Risk analysis of extremes has high socioeconomic relevance. Of crucial interest is the tail probability, P, of the distribution of a variable, which is the chance of observing a value equal to or greater than a certain threshold value, x. Many variables in geophysical systems (e.g. climate) show heavy tail behaviour, where P may be rather large. In particular, P decreases with x as a power law that is described by a parameter, α. We present an improved method to estimate α on data.