When the data are dependent, the exceedances may have a tendency to cluster. It is common to assume that the marginal distribution of each exceedance is the Generalized Pareto (see for example Chapter 5 of Coles , 2001). Various methods have been proposed for dealing with the problem of dependent exceedances. The most widely-adopted one consists in declustering the exceedances, which corresponds to a filtering of the exceedances to obtain a set of that are approximately independent. As summarized by Coles (2001), the declustering approach consists in:
identifying cluster of extreme values; retrieving the cluster maxima; assuming that each cluster maxima are independent; fitting the GP distribution to the cluster maxima. In Extremes.jl , two methods for identifying cluster of extreme values are implemented in the getcluster
function: the runs method and the two thresholds method. The function returns a vector of Cluster
type.
Both methods for identifying the clusters are illustrated with the Wooster dataset studied by Coles (2001). This dataset consists in the daily temperature minimum recorded in Wooster, Ohio, from 1983 to 1988. The attention is restricted to the winter months (November to February) and to the negated series for using the model defined for maxima.
data = Extremes.dataset("wooster")
plot(data, x=:Date, y=:Temperature, Geom.point)
Date
Jan 1, 1983
1984
1985
1986
1987
1988
Jan 1, 1983
Apr
Jul
Oct
Jan 1984
Apr
Jul
Oct
Jan 1985
Apr
Jul
Oct
Jan 1986
Apr
Jul
Oct
Jan 1987
Apr
Jul
Oct
Jan 1988
Dec 24, 1983
31
Jan 7, 1984
14
21
28
Feb 4
11
18
25
Mar 3
10
17
24
31
Apr 7
14
21
28
May 5
12
19
26
Jun 2
9
16
23
30
Jul 7
14
21
28
Aug 4
11
18
25
Sep 1
8
15
22
29
Oct 6
13
20
27
Nov 3
10
17
24
Dec 1
8
15
22
29
Jan 5, 1985
12
19
26
Feb 2
9
16
23
Mar 2
9
16
23
30
Apr 6
13
20
27
May 4
11
18
25
Jun 1
8
15
22
29
Jul 6
13
20
27
Aug 3
10
17
24
31
Sep 7
14
21
28
Oct 5
12
19
26
Nov 2
9
16
23
30
Dec 7
14
21
28
Jan 4, 1986
11
18
25
Feb 1
8
15
22
Mar 1
8
15
22
29
Apr 5
12
19
26
May 3
10
17
24
31
Jun 7
14
21
28
Jul 5
12
19
26
Aug 2
9
16
23
30
Sep 6
13
20
27
Oct 4
11
18
25
Nov 1
8
15
22
29
Dec 6
13
20
27
Jan 3, 1987
10
17
24
31
Feb 7
14
21
28
Mar 7
14
21
28
Apr 4
11
18
25
May 2
9
16
23
30
Jun 6
13
20
27
Jul 4
11
18
25
Aug 1
8
15
22
29
Sep 5
12
19
26
Oct 3
10
17
24
31
Nov 7
14
21
28
Dec 5
12
19
26
Jan 2, 1988
Jan 1, 1983
1986
1989
1987-12-3126
1987-12-3012
1987-12-2918
1987-12-2831
1987-12-2725
1987-12-2626
1987-12-2535
1987-12-2429
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1987-12-2221
1987-12-2128
1987-12-2036
1987-12-1930
1987-12-1826
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1987-12-1627
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1987-11-0936
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1987-11-0249
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1987-10-3140
1987-10-3032
1987-10-2938
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1987-10-2625
1987-10-2530
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1987-10-2132
1987-10-2040
1987-10-1932
1987-10-1839
1987-10-1746
1987-10-1635
1987-10-1532
1987-10-1426
1987-10-1328
1987-10-1231
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1987-10-1042
1987-10-0931
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1987-10-0742
1987-10-0644
1987-10-0540
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1987-09-2957
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1987-08-1959
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1987-08-0970
1987-08-0863
1987-08-0756
1987-08-0658
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1987-08-0465
1987-08-0369
1987-08-0269
1987-08-0168
1987-07-3166
1987-07-3063
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1987-07-1371
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1987-03-2640
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1987-03-2334
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1987-01-24-3
1987-01-23-1
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1986-12-2027
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1985-07-2448
1985-07-2349
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h,j,k,l,arrows,drag to pan
i,o,+,-,scroll,shift-drag to zoom
r,dbl-click to reset
c for coordinates
? for help
?
-25
0
25
50
75
-25
-20
-15
-10
-5
0
5
10
15
20
25
30
35
40
45
50
55
60
65
70
75
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0.0
0.5
1.0
1.5
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2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.5
10.0
10.5
11.0
11.5
12.0
12.5
13.0
13.5
14.0
14.5
15.0
15.5
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29.5
30.0
30.5
31.0
31.5
32.0
32.5
33.0
33.5
34.0
34.5
35.0
35.5
36.0
36.5
37.0
37.5
38.0
38.5
39.0
39.5
40.0
40.5
41.0
41.5
42.0
42.5
43.0
43.5
44.0
44.5
45.0
45.5
46.0
46.5
47.0
47.5
48.0
48.5
49.0
49.5
50.0
50.5
51.0
51.5
52.0
52.5
53.0
53.5
54.0
54.5
55.0
55.5
56.0
56.5
57.0
57.5
58.0
58.5
59.0
59.5
60.0
60.5
61.0
61.5
62.0
62.5
63.0
63.5
64.0
64.5
65.0
65.5
66.0
66.5
67.0
67.5
68.0
68.5
69.0
69.5
70.0
70.5
71.0
71.5
72.0
72.5
73.0
73.5
74.0
74.5
75.0
-25
0
25
50
75
Temperature
df = copy(data)
df[!,:Temperature] = -data[:,:Temperature]
filter!(row -> month(row.Date) ∈ (1,2,11,12), df)
plot(df, x=:Date, y=:Temperature, Geom.point)
Date
Jan 1, 1983
1984
1985
1986
1987
1988
Jan 1, 1983
Apr
Jul
Oct
Jan 1984
Apr
Jul
Oct
Jan 1985
Apr
Jul
Oct
Jan 1986
Apr
Jul
Oct
Jan 1987
Apr
Jul
Oct
Jan 1988
Dec 24, 1983
31
Jan 7, 1984
14
21
28
Feb 4
11
18
25
Mar 3
10
17
24
31
Apr 7
14
21
28
May 5
12
19
26
Jun 2
9
16
23
30
Jul 7
14
21
28
Aug 4
11
18
25
Sep 1
8
15
22
29
Oct 6
13
20
27
Nov 3
10
17
24
Dec 1
8
15
22
29
Jan 5, 1985
12
19
26
Feb 2
9
16
23
Mar 2
9
16
23
30
Apr 6
13
20
27
May 4
11
18
25
Jun 1
8
15
22
29
Jul 6
13
20
27
Aug 3
10
17
24
31
Sep 7
14
21
28
Oct 5
12
19
26
Nov 2
9
16
23
30
Dec 7
14
21
28
Jan 4, 1986
11
18
25
Feb 1
8
15
22
Mar 1
8
15
22
29
Apr 5
12
19
26
May 3
10
17
24
31
Jun 7
14
21
28
Jul 5
12
19
26
Aug 2
9
16
23
30
Sep 6
13
20
27
Oct 4
11
18
25
Nov 1
8
15
22
29
Dec 6
13
20
27
Jan 3, 1987
10
17
24
31
Feb 7
14
21
28
Mar 7
14
21
28
Apr 4
11
18
25
May 2
9
16
23
30
Jun 6
13
20
27
Jul 4
11
18
25
Aug 1
8
15
22
29
Sep 5
12
19
26
Oct 3
10
17
24
31
Nov 7
14
21
28
Dec 5
12
19
26
Jan 2, 1988
Jan 1, 1983
1986
1989
1987-12-31-26
1987-12-30-12
1987-12-29-18
1987-12-28-31
1987-12-27-25
1987-12-26-26
1987-12-25-35
1987-12-24-29
1987-12-23-32
1987-12-22-21
1987-12-21-28
1987-12-20-36
1987-12-19-30
1987-12-18-26
1987-12-17-26
1987-12-16-27
1987-12-15-30
1987-12-14-28
1987-12-13-31
1987-12-12-32
1987-12-11-29
1987-12-10-32
1987-12-09-43
1987-12-08-34
1987-12-07-26
1987-12-06-21
1987-12-05-27
1987-12-04-27
1987-12-03-29
1987-12-02-28
1987-12-01-30
1987-11-30-36
1987-11-29-39
1987-11-28-41
1987-11-27-35
1987-11-26-38
1987-11-25-42
1987-11-24-39
1987-11-23-24
1987-11-22-13
1987-11-21-16
1987-11-20-22
1987-11-19-30
1987-11-18-38
1987-11-17-53
1987-11-16-39
1987-11-15-29
1987-11-14-37
1987-11-13-34
1987-11-12-25
1987-11-11-25
1987-11-10-28
1987-11-09-36
1987-11-08-45
1987-11-07-39
1987-11-06-29
1987-11-05-31
1987-11-04-56
1987-11-03-55
1987-11-02-49
1987-11-01-45
1987-02-28-35
1987-02-27-32
1987-02-26-25
1987-02-25-20
1987-02-24-26
1987-02-23-31
1987-02-22-32
1987-02-21-20
1987-02-20-14
1987-02-19-12
1987-02-18-21
1987-02-17-8
1987-02-16-7
1987-02-15-8
1987-02-14-20
1987-02-13-21
1987-02-12-31
1987-02-11-18
1987-02-10-16
1987-02-09-15
1987-02-08-16
1987-02-07-29
1987-02-06-20
1987-02-05-16
1987-02-04-24
1987-02-03-32
1987-02-02-35
1987-02-01-25
1987-01-31-25
1987-01-30-26
1987-01-29-24
1987-01-28-13
1987-01-270
1987-01-26-7
1987-01-25-1
1987-01-243
1987-01-231
1987-01-22-23
1987-01-21-15
1987-01-20-23
1987-01-19-24
1987-01-18-28
1987-01-17-19
1987-01-16-22
1987-01-15-31
1987-01-14-35
1987-01-13-25
1987-01-12-27
1987-01-11-28
1987-01-10-28
1987-01-09-25
1987-01-08-27
1987-01-07-32
1987-01-06-13
1987-01-05-13
1987-01-04-17
1987-01-03-23
1987-01-02-30
1987-01-01-26
1986-12-31-30
1986-12-30-26
1986-12-29-21
1986-12-28-25
1986-12-27-28
1986-12-26-29
1986-12-25-31
1986-12-24-26
1986-12-23-19
1986-12-22-17
1986-12-21-23
1986-12-20-27
1986-12-19-28
1986-12-18-30
1986-12-17-32
1986-12-16-25
1986-12-15-27
1986-12-14-15
1986-12-13-15
1986-12-12-19
1986-12-11-17
1986-12-10-17
1986-12-09-39
1986-12-08-37
1986-12-07-31
1986-12-06-22
1986-12-05-23
1986-12-04-24
1986-12-03-33
1986-12-02-32
1986-12-01-30
1986-11-30-33
1986-11-29-36
1986-11-28-31
1986-11-27-31
1986-11-26-28
1986-11-25-22
1986-11-24-27
1986-11-23-30
1986-11-22-31
1986-11-21-33
1986-11-20-30
1986-11-19-27
1986-11-18-32
1986-11-17-34
1986-11-16-34
1986-11-15-15
1986-11-14-11
1986-11-13-16
1986-11-12-28
1986-11-11-33
1986-11-10-26
1986-11-09-43
1986-11-08-49
1986-11-07-40
1986-11-06-42
1986-11-05-37
1986-11-04-39
1986-11-03-24
1986-11-02-44
1986-11-01-49
1986-02-28-6
1986-02-27-9
1986-02-26-18
1986-02-25-17
1986-02-24-17
1986-02-23-26
1986-02-22-21
1986-02-21-22
1986-02-20-31
1986-02-19-33
1986-02-18-42
1986-02-17-32
1986-02-16-18
1986-02-15-16
1986-02-14-15
1986-02-13-4
1986-02-12-8
1986-02-11-14
1986-02-10-16
1986-02-09-24
1986-02-08-23
1986-02-07-24
1986-02-06-30
1986-02-05-34
1986-02-04-34
1986-02-03-30
1986-02-02-31
1986-02-01-26
1986-01-31-14
1986-01-30-16
1986-01-29-11
1986-01-28-1
1986-01-27-2
1986-01-26-21
1986-01-25-30
1986-01-24-17
1986-01-23-20
1986-01-22-31
1986-01-21-27
1986-01-20-29
1986-01-19-31
1986-01-18-41
1986-01-17-41
1986-01-16-13
1986-01-151
1986-01-14-11
1986-01-13-8
1986-01-12-30
1986-01-11-21
1986-01-10-27
1986-01-09-14
1986-01-08-3
1986-01-07-7
1986-01-06-13
1986-01-05-22
1986-01-04-28
1986-01-03-28
1986-01-02-29
1986-01-01-16
1985-12-31-18
1985-12-30-12
1985-12-29-16
1985-12-28-5
1985-12-27-17
1985-12-262
1985-12-250
1985-12-24-11
1985-12-23-31
1985-12-22-6
1985-12-21-6
1985-12-20-2
1985-12-192
1985-12-18-1
1985-12-17-12
1985-12-16-18
1985-12-15-9
1985-12-14-8
1985-12-13-18
1985-12-12-32
1985-12-11-38
1985-12-10-31
1985-12-09-30
1985-12-08-27
1985-12-07-31
1985-12-06-31
1985-12-05-30
1985-12-04-24
1985-12-03-17
1985-12-02-17
1985-12-01-41
1985-11-30-37
1985-11-29-36
1985-11-28-33
1985-11-27-35
1985-11-26-33
1985-11-25-30
1985-11-24-29
1985-11-23-31
1985-11-22-32
1985-11-21-23
1985-11-20-29
1985-11-19-59
1985-11-18-39
1985-11-17-40
1985-11-16-41
1985-11-15-41
1985-11-14-43
1985-11-13-50
1985-11-12-42
1985-11-11-42
1985-11-10-44
1985-11-09-43
1985-11-08-32
1985-11-07-34
1985-11-06-40
1985-11-05-45
1985-11-04-46
1985-11-03-49
1985-11-02-51
1985-11-01-50
1985-02-28-24
1985-02-27-26
1985-02-26-29
1985-02-25-30
1985-02-24-38
1985-02-23-42
1985-02-22-42
1985-02-21-21
1985-02-20-13
1985-02-19-18
1985-02-18-20
1985-02-17-24
1985-02-16-4
1985-02-15-6
1985-02-14-14
1985-02-13-15
1985-02-12-31
1985-02-11-24
1985-02-103
1985-02-091
1985-02-082
1985-02-07-5
1985-02-06-13
1985-02-05-13
1985-02-0413
1985-02-035
1985-02-02-7
1985-02-01-10
1985-01-31-23
1985-01-30-7
1985-01-29-10
1985-01-28-20
1985-01-27-11
1985-01-26-7
1985-01-25-14
1985-01-24-19
1985-01-23-15
1985-01-22-9
1985-01-2118
1985-01-2019
1985-01-195
1985-01-18-17
1985-01-17-17
1985-01-161
1985-01-15-11
1985-01-14-18
1985-01-13-12
1985-01-12-11
1985-01-11-16
1985-01-10-16
1985-01-09-8
1985-01-08-15
1985-01-07-30
1985-01-06-29
1985-01-05-24
1985-01-04-24
1985-01-03-23
1985-01-02-26
1985-01-01-31
1984-12-31-27
1984-12-30-29
1984-12-29-43
1984-12-28-52
1984-12-27-28
1984-12-26-18
1984-12-25-11
1984-12-24-21
1984-12-23-23
1984-12-22-25
1984-12-21-30
1984-12-20-29
1984-12-19-30
1984-12-18-28
1984-12-17-47
1984-12-16-42
1984-12-15-44
1984-12-14-38
1984-12-13-37
1984-12-12-36
1984-12-11-34
1984-12-10-35
1984-12-09-12
1984-12-08-17
1984-12-07-6
1984-12-06-18
1984-12-05-14
1984-12-04-18
1984-12-03-25
1984-12-02-27
1984-12-01-31
1984-11-30-33
1984-11-29-31
1984-11-28-33
1984-11-27-39
1984-11-26-30
1984-11-25-25
1984-11-24-24
1984-11-23-28
1984-11-22-27
1984-11-21-27
1984-11-20-18
1984-11-19-26
1984-11-18-32
1984-11-17-22
1984-11-16-27
1984-11-15-40
1984-11-14-21
1984-11-13-25
1984-11-12-25
1984-11-11-30
1984-11-10-48
1984-11-09-45
1984-11-08-30
1984-11-07-25
1984-11-06-32
1984-11-05-40
1984-11-04-42
1984-11-03-25
1984-11-02-27
1984-11-01-46
1984-02-29-14
1984-02-28-20
1984-02-27-24
1984-02-26-11
1984-02-25-16
1984-02-24-32
1984-02-23-28
1984-02-22-23
1984-02-21-24
1984-02-20-31
1984-02-19-39
1984-02-18-41
1984-02-17-42
1984-02-16-30
1984-02-15-28
1984-02-14-37
1984-02-13-49
1984-02-12-42
1984-02-11-42
1984-02-10-28
1984-02-09-23
1984-02-08-12
1984-02-07-11
1984-02-06-13
1984-02-05-24
1984-02-04-29
1984-02-03-31
1984-02-02-20
1984-02-01-1
1984-01-31-7
1984-01-30-23
1984-01-29-27
1984-01-28-15
1984-01-27-23
1984-01-26-27
1984-01-25-30
1984-01-24-35
1984-01-23-7
1984-01-222
1984-01-2116
1984-01-209
1984-01-193
1984-01-18-2
1984-01-17-18
1984-01-160
1984-01-15-1
1984-01-14-16
1984-01-13-9
1984-01-12-3
1984-01-11-4
1984-01-10-6
1984-01-09-22
1984-01-08-19
1984-01-07-19
1984-01-06-26
1984-01-05-30
1984-01-04-32
1984-01-03-26
1984-01-02-29
1984-01-01-23
1983-12-31-4
1983-12-304
1983-12-291
1983-12-28-22
1983-12-27-11
1983-12-268
1983-12-2512
1983-12-2413
1983-12-23-3
1983-12-22-7
1983-12-21-12
1983-12-20-10
1983-12-19-9
1983-12-18-15
1983-12-17-16
1983-12-16-21
1983-12-15-31
1983-12-14-35
1983-12-13-35
1983-12-12-36
1983-12-11-31
1983-12-10-30
1983-12-09-26
1983-12-08-26
1983-12-07-25
1983-12-06-27
1983-12-05-35
1983-12-04-33
1983-12-03-29
1983-12-02-22
1983-12-01-22
1983-11-30-26
1983-11-29-33
1983-11-28-35
1983-11-27-38
1983-11-26-37
1983-11-25-29
1983-11-24-32
1983-11-23-52
1983-11-22-42
1983-11-21-41
1983-11-20-53
1983-11-19-46
1983-11-18-27
1983-11-17-31
1983-11-16-32
1983-11-15-34
1983-11-14-21
1983-11-13-21
1983-11-12-23
1983-11-11-25
1983-11-10-43
1983-11-09-32
1983-11-08-33
1983-11-07-41
1983-11-06-35
1983-11-05-35
1983-11-04-32
1983-11-03-37
1983-11-02-45
1983-11-01-46
1983-02-28-29
1983-02-27-19
1983-02-26-21
1983-02-25-23
1983-02-24-26
1983-02-23-27
1983-02-22-33
1983-02-21-37
1983-02-20-32
1983-02-19-30
1983-02-18-30
1983-02-17-35
1983-02-16-34
1983-02-15-35
1983-02-14-15
1983-02-13-7
1983-02-12-15
1983-02-11-19
1983-02-10-15
1983-02-09-11
1983-02-08-13
1983-02-07-22
1983-02-06-21
1983-02-05-14
1983-02-04-20
1983-02-03-23
1983-02-02-38
1983-02-01-19
1983-01-31-27
1983-01-30-31
1983-01-29-27
1983-01-28-18
1983-01-27-18
1983-01-26-25
1983-01-25-29
1983-01-24-33
1983-01-23-33
1983-01-22-30
1983-01-21-19
1983-01-20-1
1983-01-19-6
1983-01-18-5
1983-01-17-6
1983-01-16-13
1983-01-15-20
1983-01-14-29
1983-01-13-20
1983-01-12-21
1983-01-11-30
1983-01-10-41
1983-01-09-21
1983-01-08-26
1983-01-07-31
1983-01-06-32
1983-01-05-27
1983-01-04-14
1983-01-03-19
1983-01-02-29
1983-01-01-23
h,j,k,l,arrows,drag to pan
i,o,+,-,scroll,shift-drag to zoom
r,dbl-click to reset
c for coordinates
? for help
?
-60
-40
-20
0
20
-60
-55
-50
-45
-40
-35
-30
-25
-20
-15
-10
-5
0
5
10
15
20
-60.0
-59.5
-59.0
-58.5
-58.0
-57.5
-57.0
-56.5
-56.0
-55.5
-55.0
-54.5
-54.0
-53.5
-53.0
-52.5
-52.0
-51.5
-51.0
-50.5
-50.0
-49.5
-49.0
-48.5
-48.0
-47.5
-47.0
-46.5
-46.0
-45.5
-45.0
-44.5
-44.0
-43.5
-43.0
-42.5
-42.0
-41.5
-41.0
-40.5
-40.0
-39.5
-39.0
-38.5
-38.0
-37.5
-37.0
-36.5
-36.0
-35.5
-35.0
-34.5
-34.0
-33.5
-33.0
-32.5
-32.0
-31.5
-31.0
-30.5
-30.0
-29.5
-29.0
-28.5
-28.0
-27.5
-27.0
-26.5
-26.0
-25.5
-25.0
-24.5
-24.0
-23.5
-23.0
-22.5
-22.0
-21.5
-21.0
-20.5
-20.0
-19.5
-19.0
-18.5
-18.0
-17.5
-17.0
-16.5
-16.0
-15.5
-15.0
-14.5
-14.0
-13.5
-13.0
-12.5
-12.0
-11.5
-11.0
-10.5
-10.0
-9.5
-9.0
-8.5
-8.0
-7.5
-7.0
-6.5
-6.0
-5.5
-5.0
-4.5
-4.0
-3.5
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
8.0
8.5
9.0
9.5
10.0
10.5
11.0
11.5
12.0
12.5
13.0
13.5
14.0
14.5
15.0
15.5
16.0
16.5
17.0
17.5
18.0
18.5
19.0
19.5
20.0
-60
-40
-20
0
20
Temperature
Two cluster definitions are used in Extremes.jl . The first one is based on the runs method : exceedances separated by fewer than $r$ non-exceedances are assumed to belong to the same cluster (see Chapter 10 of Beirlant et al. , 2004). The parameter $r$ is generally referred to as the runlength parameter. When $r = 0$ , each exceedance forms a separate cluster.
When using the threshold of -10°F and the runlength of 4, 17 clusters are idenfied:
threshold = -10.0
cluster = getcluster(df[:,:Temperature], threshold, runlength=4)
The first cluster can be retrieved as follows:
first(cluster)
Cluster
u₁: -10.0
u₂: -10.0
position: [17, 18, 19, 20]
value: [-6, -5, -6, -1]
The GP distribution can be fitted on the cluster maximal exceedances (the cluster maximum can be computed with the maximum
method applied to the Cluster type):
julia> z = maximum.(cluster)
17-element Vector{Int64}:
-1
-7
13
16
-1
-6
-8
19
-4
2
-3
1
-1
-4
-6
3
-7
With the two thresholds method, a cluster of threshold exceedances is defined as a streak of data higher than a second threshold $u₂$ whose at least one data is higher than a first threshold $u₁$ , where $u₁ ≥ u₂$ .
When using the $u₁ = 0°F$ as the first threshold and $u₂ = -10°F$ as the second threshold, 11 clusters are idenfied:
u₁ = -10
u₂ = -15
cluster = getcluster(df[:,:Temperature], u₁, u₂)
The first cluster can be retrieved as follows:
first(cluster)
Cluster
u₁: -10
u₂: -15
position: [16, 17, 18, 19, 20]
value: [-13, -6, -5, -6, -1]
The GP distribution can be fitted on the cluster maximal exceedances:
julia> z = maximum.(cluster)
27-element Vector{Int64}:
-1
-7
13
4
-3
0
16
-1
-6
-8
⋮
2
-5
-3
1
-1
-4
-6
3
-7