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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
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    File URL: https://www.econ.cam.ac.uk/sites/default/files/publication-cwpe-pdfs/cwpe2620.pdf
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    References listed on IDEAS

    as
    1. C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024. "Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity," Papers 2406.14145, arXiv.org.
    2. Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023. "Quasi score-driven models," Journal of Econometrics, Elsevier, vol. 234(1), pages 251-275.
    3. Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2025. "Score-driven time-varying parameter models with splinebased densities," Tinbergen Institute Discussion Papers 25-011/III, Tinbergen Institute.
    4. Samadi, S. Yaser & Billard, Lynne, 2021. "Analysis of dependent data aggregated into intervals," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    5. Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André, 2022. "Maximum likelihood estimation for score-driven models," Journal of Econometrics, Elsevier, vol. 227(2), pages 325-346.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

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

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