A limiting distribution for maxima of discrete stationary triangular arrays with an application to risk due to avalanches - CNRS - Centre national de la recherche scientifique Accéder directement au contenu
Article Dans Une Revue Extremes Année : 2016

A limiting distribution for maxima of discrete stationary triangular arrays with an application to risk due to avalanches

Résumé

In this paper, we generalize earlier work dealing with maxima of discrete random variables. We show that row-wise stationary block maxima of a triangular array of integer valued random variables converge to a Gumbel extreme value distribution if row-wise variances grow sufficiently fast as the row-size increases. As a by-product, we derive analytical expressions of normalising constants for most classical unbounded discrete distributions. A brief simulation illustrates our theoretical result. Also, we highlight its usefulness in practice with a real risk assessment problem, namely the evaluation of extreme avalanche occurrence numbers in the French Alps.
Fichier non déposé

Dates et versions

hal-01587363 , version 1 (14-09-2017)

Identifiants

Citer

Pascal Sielenou Dkengne, Nicolas Eckert, Philippe Naveau. A limiting distribution for maxima of discrete stationary triangular arrays with an application to risk due to avalanches. Extremes, 2016, 19 (1), pp.25 - 40. ⟨10.1007/s10687-015-0234-0⟩. ⟨hal-01587363⟩
122 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More