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Change point and trend analyses of annual expectile curves of tropical storms

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  • Burdejova, Petra
  • Härdle, Wolfgang Karl
  • Kokoszka, Piotr
  • Xiong, Q.

Abstract

Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can be applied to data which can be represented as annual curves which evolve from year to year. Other examples include annual temperature or log-precipitation curves at specific locations. Within a framework of a functional regression model, we derive two tests of significance of the slope function, which can be viewed as the slope coefficient in the regression of the annual curves on year. One of the tests relies on a Monte Carlo distribution to compute the critical values, the other is pivotal with the chi- square limit distribution. Full asymptotic justification of both tests is provided. Their finite sample properties are investigated by a simulation study. Applied to tropical storm data, these tests show that there is a significant trend in the shape of the annual pattern of upper wind speed levels of hurricanes.

Suggested Citation

  • Burdejova, Petra & Härdle, Wolfgang Karl & Kokoszka, Piotr & Xiong, Q., 2015. "Change point and trend analyses of annual expectile curves of tropical storms," SFB 649 Discussion Papers 2015-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2015-029
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    References listed on IDEAS

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    1. István Berkes & Robertas Gabrys & Lajos Horváth & Piotr Kokoszka, 2009. "Detecting changes in the mean of functional observations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(5), pages 927-946, November.
    2. Gromenko, Oleksandr & Kokoszka, Piotr, 2013. "Nonparametric inference in small data sets of spatially indexed curves with application to ionospheric trend determination," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 82-94.
    3. Berkes, István & Horváth, Lajos & Rice, Gregory, 2013. "Weak invariance principles for sums of dependent random functions," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 385-403.
    4. De Rossi, Giuliano & Harvey, Andrew, 2009. "Quantiles, expectiles and splines," Journal of Econometrics, Elsevier, vol. 152(2), pages 179-185, October.
    5. Lajos Horváth & Piotr Kokoszka & Ron Reeder, 2013. "Estimation of the mean of functional time series and a two-sample problem," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(1), pages 103-122, January.
    6. Sabine Schnabel & Paul Eilers, 2013. "Simultaneous estimation of quantile curves using quantile sheets," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(1), pages 77-87, January.
    7. Mengmeng Guo & Wolfgang Härdle, 2012. "Simultaneous confidence bands for expectile functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(4), pages 517-541, October.
    8. Siegfried Hörmann & Łukasz Kidziński & Marc Hallin, 2015. "Dynamic functional principal components," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(2), pages 319-348, March.
    9. Schnabel, Sabine K. & Eilers, Paul H.C., 2009. "Optimal expectile smoothing," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4168-4177, October.
    10. Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
    11. James W. Taylor, 2008. "Estimating Value at Risk and Expected Shortfall Using Expectiles," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 231-252, Spring.
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    1. repec:hum:wpaper:sfb649dp2017-027 is not listed on IDEAS
    2. Kokoszka, Piotr & Oja, Hanny & Park, Byeong & Sangalli, Laura, 2017. "Special issue on functional data analysis," Econometrics and Statistics, Elsevier, vol. 1(C), pages 99-100.
    3. Tran, Ngoc M. & Burdejová, Petra & Ospienko, Maria & Härdle, Wolfgang K., 2019. "Principal component analysis in an asymmetric norm," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 1-21.
    4. Petra Burdejová & Wolfgang K. Härdle, 2019. "Dynamic semi-parametric factor model for functional expectiles," Computational Statistics, Springer, vol. 34(2), pages 489-502, June.
    5. repec:hum:wpaper:sfb649dp2016-040 is not listed on IDEAS

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    More about this item

    Keywords

    change point; trend test; tropical storms; expectiles; functional data analysis;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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