Modeling extreme values of processes observed at irregular time steps: application to significant wave height
From MaRDI portal
Publication:2453694
Abstract: This work is motivated by the analysis of the extremal behavior of buoy and satellite data describing wave conditions in the North Atlantic Ocean. The available data sets consist of time series of significant wave height (Hs) with irregular time sampling. In such a situation, the usual statistical methods for analyzing extreme values cannot be used directly. The method proposed in this paper is an extension of the peaks over threshold (POT) method, where the distribution of a process above a high threshold is approximated by a max-stable process whose parameters are estimated by maximizing a composite likelihood function. The efficiency of the proposed method is assessed on an extensive set of simulated data. It is shown, in particular, that the method is able to describe the extremal behavior of several common time series models with regular or irregular time sampling. The method is then used to analyze Hs data in the North Atlantic Ocean. The results indicate that it is possible to derive realistic estimates of the extremal properties of Hs from satellite data, despite its complex space--time sampling.
Recommendations
- Estimation of return values for significant wave height from satellite data
- scientific article; zbMATH DE number 3917511
- A new method for modelling the space variability of significant wave heights
- Modeling non-stationary extreme waves using a point process approach and wavelets
- Extremal Analysis of Processes Sampled at Different Frequencies
Cites work
- A hierarchical max-stable spatial model for extreme precipitation
- A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
- A latent process model for temporal extremes
- A note on composite likelihood inference and model selection
- A note on pseudolikelihood constructed from marginal densities
- A spectral representation for max-stable processes
- An introduction to statistical modeling of extreme values
- Approximations to the tail empirical distribution function with application to testing extreme value conditions
- Bayesian Spatial Modeling of Extreme Precipitation Return Levels
- Extreme value theory. An introduction.
- Extremes and related properties of random sequences and processes
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 4100431 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1995537 (Why is no real title available?)
- Likelihood-based inference for max-stable processes
- Markov chain models for threshold exceedances
- Modeling extreme values of processes observed at irregular time steps: application to significant wave height
- Models for stationary max-stable random fields
- On composite marginal likelihoods
- Statistics of Extremes
Cited in
(15)- Fast computation of large scale marginal extremes with multi-dimensional covariates
- Statistical downscaling for future extreme wave heights in the North Sea
- Estimation of extreme values by the average conditional exceedance rate method
- Modeling non-stationary extreme waves using a point process approach and wavelets
- Long-term time-dependent stochastic modelling of extreme waves
- Modeling extreme values of processes observed at irregular time steps: application to significant wave height
- A new method for modelling the space variability of significant wave heights
- Modelling of extreme wave heights and periods through copulas
- Towards statistical modeling of tsunami occurrence with regional frequency analysis
- Latent process modelling of threshold exceedances in hourly rainfall series
- scientific article; zbMATH DE number 3917511 (Why is no real title available?)
- scientific article; zbMATH DE number 2161770 (Why is no real title available?)
- Extremal Analysis of Processes Sampled at Different Frequencies
- Bayesian hierarchical space-time models with application to significant wave height
- Estimation of return values for significant wave height from satellite data
This page was built for publication: Modeling extreme values of processes observed at irregular time steps: application to significant wave height
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2453694)
