Predictive Inference for Spatio-temporal Precipitation Data and Its Extremes∗

Under review at the Journal of the American Statistical Association Modelling of precipitation and its extremes is important for urban and agriculture planning purposes. We present a method for producing spatial predictions and measures of uncertainty for spatio-temporal data that is heavy-tailed and subject to substaintial skewness which often arise in measurements of many environmental processes, and we apply the method to precipitation data in south-west Western Australia. A generalised hyper-bolic Bayesian hierarchical model is constructed for the intensity, frequency and duration of daily precipitation, including the extremes. Unlike models based on extreme value theory, which only model maxima of finite-sized blocks or exceedances above a large threshold, the proposed model uses all the data available efficiently, and hence not only fits the extremes but also models the entire rainfall distribution. It captures spatial and temporal clus-tering, as well as spatially and temporally varying volatility and skewness. The model assumes that the regional precipitation is driven by a latent process characterised by geographical and climatological covariates. Effects not fully described by the covariates are captured by spatial and temporal structure in the hierarchies. Inference is provided by MCMC using a Metropolis-Hastings algorithm and spatial interpolation method, which provide a natural approach for estimating uncertainty. Similarly, both spatial and temporal predictions with uncertainty can be produced with the model