On the probability of exceeding a given river flow threshold |
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| Authors: | Mario Lefebvre Fatima Bensalma |
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| Affiliation: | 1. Département de mathématiques et de génie industriel, école Polytechnique, Montréal, QC, Canadamario.lefebvre@polymtl.ca;3. Département de mathématiques et de génie industriel, école Polytechnique, Montréal, QC, Canada |
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| Abstract: | ABSTRACTTo obtain estimates of the probability that a river flow will exceed a given threshold at time t + 1, given the flow value at time t, two stochastic models are considered: a filtered Poisson process and a diffusion process with jumps. Estimates derived from linear regression are also considered. The model parameters are assumed to depend on the flow value. An application to the Delaware River is presented. Editor D. Koutsoyiannis; Associate editor S. Grimaldi |
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| Keywords: | filtered Poisson process diffusion process with jumps linear regression tail probability |
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