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Participation du Laboratoire de Mathématiques de l'Université de Bretagne Sud à la Conférence de Montréal sur "Statistiques et Environnement" qui s'est tenue à Montréal, Québec, Canada, en Août 2013.

Title: Estimation of a Time-Varying Extreme Quantile with Application to the Measurement of the Activity of Bivalves in an Environmental Context

Author(s): Ion Grama+ and Gilles Durrieu and Jean-Charles Massabuau and Quang Khoai Pham and Jean-Marie TRICOT

Companies: University of South Brittany and University of South Brittany and University of Bordeaux 1, CNRS UMR 5805-EPOC and University of South Brittany

Keywords: Extreme values ; High quantiles ; Nonparametric kernel estimator ; Bio-monitoring ; Environmental statistics

Abstract: Consider a continuous time process $X(t)$ with independent increments and assume that each observation has a regularly varying distribution function $F_t$. We propose a nonparametric estimator of the high quantiles of $F_t$ from the observations $X(t_i)$ at instants $t_i$. The idea of our approach is to adjust the tail of the distribution function $F_t$ with a Pareto distribution with parameter $\theta_t$ starting from a threshold $\tau$. The parameter $\theta_t$ is estimated using a kernel estimator of bandwidth $h$ based on the observations larger than $\tau$. Under some regularity assumptions on the underlying distributions $F_t$ and for appropriately chosen threshold $\tau$ and bandwidth $h$, we prove that the proposed estimator of $\theta_t$ is consistent and we compute its rate of convergence. We also propose a sequential tests based procedure for the automatic choice of the threshold $\tau$. We discuss an application to the measurement of the closing and opening activity of bivalves considered as bio-indicators of pollution of aquatic systems.

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