IDEAS home Printed from https://ideas.repec.org/p/cam/camdae/2620.html

Dynamic Models for Climate Extremes

Author

Listed:
  • Bidoia, M.
  • Harvey, A.
  • Palumbo, D.

Abstract

Data on maxima and minima arise in climate and environment, as well as in economics and finance. Specific examples include rainfall, river level and air quality. This article proposes a new score-driven time series model for dealing with such data. A modification, called the composite score, is used to guarantee invertibility. The statistical properties of the maximum likelihood estimator are investigated and applications to river flow and temperature shows that the model works well in practice. The composite score technique may well prove useful in other situations.

Suggested Citation

  • Bidoia, M. & Harvey, A. & Palumbo, D., 2026. "Dynamic Models for Climate Extremes," Cambridge Working Papers in Economics 2620, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:2620
    as

    Download full text from publisher

    File URL: https://www.econ.cam.ac.uk/sites/default/files/publication-cwpe-pdfs/cwpe2620.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cam:camdae:2620. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jake Dyer (email available below). General contact details of provider: https://www.econ.cam.ac.uk/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.