The Annals of Applied Statistics

Ground-level ozone: Evidence of increasing serial dependence in the extremes

Debbie J. Dupuis and Luca Trapin

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As exposure to successive episodes of high ground-level ozone concentrations can result in larger changes in respiratory function than occasional exposure buffered by lengthy recovery periods, the analysis of extreme values in a series of ozone concentrations requires careful consideration of not only the levels of the extremes but also of any dependence appearing in the extremes of the series. Increased dependence represents increased health risks and it is thus important to detect any changes in the temporal dependence of extreme values. In this paper we establish the first test for a change point in the extremal dependence of a stationary time series. The test is flexible, easy to use and can be extended along several lines. The asymptotic distributions of our estimators and our test are established. A large simulation study verifies the good finite sample properties. The test allows us to show that there has been a significant increase in the serial dependence of the extreme levels of ground-level ozone concentrations in Bloomsbury (UK) in recent years.

Article information

Ann. Appl. Stat., Volume 13, Number 1 (2019), 34-59.

Received: February 2018
Revised: May 2018
First available in Project Euclid: 10 April 2019

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Mathematical Reviews number (MathSciNet)

Threshold exceedances hierarchical models trawl process change point


Dupuis, Debbie J.; Trapin, Luca. Ground-level ozone: Evidence of increasing serial dependence in the extremes. Ann. Appl. Stat. 13 (2019), no. 1, 34--59. doi:10.1214/18-AOAS1183.

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