TY  - JOUR
A1  - Wietzke, Luzie M.
A1  - Merz, Bruno
A1  - Gerlitz, Lars
A1  - Kreibich, Heidi
A1  - Guse, Björn
A1  - Castellarin, Attilio
A1  - Vorogushyn, Sergiy
T1  - Comparative analysis of scalar upper tail indicators
T2  - Hydrological sciences journal = Journal des sciences hydrologiques
N2  - 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.
KW  - upper tail behaviour
KW  - heavy-tailed distributions
KW  - extremes
KW  - diagnostics
KW  - surprise
Y1  - 2020
UR  - https://publishup.uni-potsdam.de/frontdoor/index/index/docId/60773
SN  - 0262-6667
SN  - 2150-3435
VL  - 65
IS  - 10
SP  - 1625
EP  - 1639
PB  - Routledge, Taylor & Francis Group
CY  - Abingdon
ER  -