Neural Networks for Extreme Quantile Regression with an Application to Forecasting of Flood Risk

Abstract

Risk assessment for extreme events requires accurate estimation of high quantiles that go beyond the range of historical observations. When the risk depends on the values of observed predictors, regression techniques are used to interpolate in the predictor space. We propose the EQRN model that combines tools from neural networks and extreme value theory into a method capable of extrapolation in the presence of complex predictor dependence. Neural networks can naturally incorporate additional structure in the data. We develop a recurrent version of EQRN that is able to capture complex sequential dependence in time series. We apply this method to forecast flood risk in the Swiss Aare catchment. It exploits information from multiple covariates in space and time to provide one-day-ahead predictions of return levels and exceedance probabilities. This output complements the static return level from a traditional extreme value analysis, and the predictions are able to adapt to distributional shifts as experienced in a changing climate. Our model can help authorities to manage flooding more effectively and to minimize their disastrous impacts through early warning systems.

Links

Published article: https://doi.org/10.1214/24-AOAS1907 (PDF)
Supplementary material: Supplementary results; Code and reproducibility

EQRN R package: https://opasche.github.io/EQRN/

Preprint: https://arxiv.org/abs/2208.07590 (PDF)

Dates

First version: August 2022
Online publication: November 2024
Final issue publication: December 2024

Recommended citation: Pasche, O. C. and Engelke, S. (2024). "Neural networks for extreme quantile regression with an application to forecasting of flood risk." Annals of Applied Statistics 18(4), 2818–2839. https://doi.org/10.1214/24-AOAS1907
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