A loss function approach to identifying environmental exceedances

Craigmile, P.F., Cressie, N., Santner, T.J. and Rao, Y. (2006) A loss function approach to identifying environmental exceedances. Extremes, 8(3), pp. 143-159. (doi:10.1007/s10687-006-7964-y)

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Abstract

A frequent problem in environmental science is the prediction of extrema and exceedances. It is well known that Bayesian and empirical-Bayesian predictors based on integrated squared error loss (ISEL) tend to overshrink predictions of extrema toward the mean. In this paper, we consider a geostatistical extension of the weighted rank squared error loss function (WRSEL) of Wright et al. (2003), which we call the integrated weighted quantile squared error loss (IWQSEL), as the basis for prediction of exceedances and their spatial location. The loss function is based on an ordering of the underlying spatial process using a spatially averaged cumulative distribution function. We illustrate this methodology with a Bayesian analysis of surface-nitrogen concentrations in the Chesapeake Bay and compare the new IWQSEL predictor with a standard ISEL predictor. We also give a comparison to predicted extrema obtained from a “plug-in” goestatistical analysis.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Craigmile, Dr Peter
Authors: Craigmile, P.F., Cressie, N., Santner, T.J., and Rao, Y.
College/School:College of Science and Engineering > School of Mathematics and Statistics > Statistics
Journal Name:Extremes
ISSN:1386-1999
ISSN (Online):1572-915X

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