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A self‐exciting marked point process model for drought analysis

Author

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  • Xiaoting Li
  • Christian Genest
  • Jonathan Jalbert

Abstract

A self‐exciting marked point process approach is proposed to model clustered low‐flow events. It combines a self‐exciting ground process designed to capture the temporal clustering behavior of extreme values and an extended Generalized Pareto mark distribution for the exceedances over a subasymptotic threshold. The model takes into account the dependence between the magnitude and occurrence time of exceedances and allows for closed‐form inference on tail probabilities and large quantiles. It is used to analyze daily water levels from the Rivière des Mille Îles (Québec, Canada) and to characterize drought patterns in the Montréal area. The model is useful to generate short‐term probability forecasts and to estimate the return period of major droughts. This information on the drought events is critical to water resource professionals in planning, designing, building, and managing more efficient water resource systems to hedge against the water shortage in case of extreme droughts.

Suggested Citation

  • Xiaoting Li & Christian Genest & Jonathan Jalbert, 2021. "A self‐exciting marked point process model for drought analysis," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
    • Handle: RePEc:wly:envmet:v:32:y:2021:i:8:n:e2697
    DOI: 10.1002/env.2697
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    References listed on IDEAS

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    Cited by:

    1. Alice B. V. Mello & Maria C. S. Lima & Abraão D. C. Nascimento, 2022. "A notable Gamma‐Lindley first‐order autoregressive process: An application to hydrological data," Environmetrics, John Wiley & Sons, Ltd., vol. 33(4), June.

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