Abstract: Modeling and forecasting dynamics of rainfall
occurrences constitute one of the major topics, which have been
largely treated by statisticians, hydrologists, climatologists and many
other groups of scientists. In the same issue, we propose, in the
present paper, a new hybrid method, which combines Extreme
Values and fractal theories. We illustrate the use of our methodology
for transformed Emberger Index series, constructed basing on data
recorded in Oujda (Morocco).
The index is treated at first by Peaks Over Threshold (POT)
approach, to identify excess observations over an optimal threshold u.
In the second step, we consider the resulting excess as a fractal object
included in one dimensional space of time. We identify fractal
dimension by the box counting. We discuss the prospect descriptions
of rainfall data sets under Generalized Pareto Distribution, assured by
Extreme Values Theory (EVT). We show that, despite of the
appropriateness of return periods given by POT approach, the
introduction of fractal dimension provides accurate interpretation
results, which can ameliorate apprehension of rainfall occurrences.
Abstract: We develop a new estimator of the renewal function for heavy-tailed claims amounts. Our approach is based on the peak over threshold method for estimating the tail of the distribution with a generalized Pareto distribution. The asymptotic normality of an appropriately centered and normalized estimator is established, and its performance illustrated in a simulation study.