Model averaging with mixed criteria for estimating high quantiles of extreme values: Application to heavy rainfall (2505.21417v1)

Abstract: Accurately estimating high quantiles beyond the largest observed value is crucial in risk assessment and devising effective adaptation strategies to prevent a greater disaster. The generalized extreme value distribution is widely used for this purpose, with L-moment estimation (LME) and maximum likelihood estimation (MLE) being the primary methods. However, estimating high quantiles with a small sample size becomes challenging when the upper endpoint is unbounded, or equivalently, when there are larger uncertainties involved in extrapolation. This study introduces an improved approach using a model averaging (MA) technique. The proposed method combines MLE and LME to construct candidate submodels and assign weights effectively. The properties of the proposed approach are evaluated through Monte Carlo simulations and an application to maximum daily rainfall data in Korea. Additionally, theoretical considerations are provided, including asymptotic variance with random weights. A surrogate model of MA estimation is also developed and applied for further analysis.