covXtreme : MATLAB software for non-stationary penalised piecewise constant marginal and conditional extreme value models

TL;DR

covXtreme is MATLAB software that models non-stationary extreme values with covariates, using piecewise-constant parameters, and provides environmental contours with uncertainty quantification for metocean and other applications.

Contribution

It introduces a flexible piecewise-constant approach for non-stationary extreme value modeling with covariates, including uncertainty quantification and environmental contour estimation.

Findings

Effective modeling of non-stationary extremes with covariates.

Quantification of uncertainty in extreme value estimates.

Application to metocean data demonstrated.

Abstract

The covXtreme software provides functionality for estimation of marginal and conditional extreme value models, non-stationary with respect to covariates, and environmental design contours. Generalised Pareto (GP) marginal models of peaks over threshold are estimated, using a piecewise-constant representation for the variation of GP threshold and scale parameters on the (potentially multidimensional) covariate domain of interest. The conditional variation of one or more associated variates, given a large value of a single conditioning variate, is described using the conditional extremes model of Heffernan and Tawn (2004), the slope term of which is also assumed to vary in a piecewise constant manner with covariates. Optimal smoothness of marginal and conditional extreme value model parameters with respect to covariates is estimated using cross-validated roughness-penalised maximum likelihood estimation. Uncertainties in model parameter estimates due to marginal and conditional extreme value threshold choice, and sample size, are quantified using a bootstrap resampling scheme. Estimates of environmental contours using various schemes, including the direct sampling approach of Huseby et al. 2013, are calculated by simulation or numerical integration under fitted models. The software was developed in MATLAB for metocean applications, but is applicable generally to multivariate samples of peaks over threshold. The software and case study data can be downloaded from GitHub, with an accompanying user guide.