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Journal Article

Comparative analysis of scalar upper tail indicators

Authors
/persons/resource/lwietzke

Wietzke,  Luzie
4.4 Hydrology, 4.0 Geosystems, Departments, GFZ Publication Database, Deutsches GeoForschungsZentrum;

/persons/resource/bmerz

Merz,  B.
4.4 Hydrology, 4.0 Geosystems, Departments, GFZ Publication Database, Deutsches GeoForschungsZentrum;

/persons/resource/lgerlitz

Gerlitz,  Lars
4.4 Hydrology, 4.0 Geosystems, Departments, GFZ Publication Database, Deutsches GeoForschungsZentrum;

/persons/resource/kreib

Kreibich,  H.
4.4 Hydrology, 4.0 Geosystems, Departments, GFZ Publication Database, Deutsches GeoForschungsZentrum;

/persons/resource/bfguse

Guse,  Björn
4.4 Hydrology, 4.0 Geosystems, Departments, GFZ Publication Database, Deutsches GeoForschungsZentrum;

Castellarin,  A.
External Organizations;

/persons/resource/vorogus

Vorogushyn,  S.
4.4 Hydrology, 4.0 Geosystems, Departments, GFZ Publication Database, Deutsches GeoForschungsZentrum;

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Citation

Wietzke, L., Merz, B., Gerlitz, L., Kreibich, H., Guse, B., Castellarin, A., Vorogushyn, S. (2020): Comparative analysis of scalar upper tail indicators. - Hydrological Sciences Journal - Journal des Sciences Hydrologiques, 65, 10, 1625-1639.
https://doi.org/10.1080/02626667.2020.1769104


Cite as: https://gfzpublic.gfz-potsdam.de/pubman/item/item_5002395
Abstract
Different upper tail indicators exist to characterize heavy tail phenomena, but no comparative study has been carried out so far. We evaluate the shape parameter (GEV), obesity index, Gini index and upper tail ratio (UTR) against a novel benchmark of tail heaviness – the surprise factor. Sensitivity analyses to sample size and changes in scale-to-location ratio are carried out in bootstrap experiments. The UTR replicates the surprise factor best but is most uncertain and only comparable between records of similar length. For samples with symmetric Lorenz curves, shape parameter, obesity and Gini indices provide consistent indications. For asymmetric Lorenz curves, however, the first two tend to overestimate, whereas Gini index tends to underestimate tail heaviness. We suggest the use of a combination of shape parameter, obesity and Gini index to characterize tail heaviness. These indicators should be supported with calculation of the Lorenz asymmetry coefficients and interpreted with caution.