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Article: Modeling extreme values of processes observed at irregular time steps: application to significant wave height
Title | Modeling extreme values of processes observed at irregular time steps: application to significant wave height |
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Authors | |
Keywords | Composite likelihood Extreme values Irregular time sampling Max-stable process Satellite data Significant wave height Time series |
Issue Date | 2014 |
Publisher | Institute of Mathematical Statistics. The Journal's web site is located at http://www.imstat.org/aoas/ |
Citation | Annals of Applied Statistics, 2014, v. 8 n. 1, p. 622-647 How to Cite? |
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. |
Persistent Identifier | http://hdl.handle.net/10722/193216 |
ISSN | 2021 Impact Factor: 1.959 2020 SCImago Journal Rankings: 1.674 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Raillard, N | en_US |
dc.contributor.author | Ailliot, P | en_US |
dc.contributor.author | Yao, J | en_US |
dc.date.accessioned | 2013-12-20T02:37:06Z | - |
dc.date.available | 2013-12-20T02:37:06Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Annals of Applied Statistics, 2014, v. 8 n. 1, p. 622-647 | en_US |
dc.identifier.issn | 1932-6157 | - |
dc.identifier.uri | http://hdl.handle.net/10722/193216 | - |
dc.description.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. | - |
dc.language | eng | en_US |
dc.publisher | Institute of Mathematical Statistics. The Journal's web site is located at http://www.imstat.org/aoas/ | - |
dc.relation.ispartof | Annals of Applied Statistics | en_US |
dc.subject | Composite likelihood | - |
dc.subject | Extreme values | - |
dc.subject | Irregular time sampling | - |
dc.subject | Max-stable process | - |
dc.subject | Satellite data | - |
dc.subject | Significant wave height | - |
dc.subject | Time series | - |
dc.title | Modeling extreme values of processes observed at irregular time steps: application to significant wave height | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yao, J: jeffyao@hku.hk | en_US |
dc.identifier.authority | Yao, JJ=rp01473 | en_US |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1214/13-AOAS711 | - |
dc.identifier.scopus | eid_2-s2.0-84898053181 | - |
dc.identifier.hkuros | 227057 | en_US |
dc.identifier.volume | 8 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 622 | - |
dc.identifier.epage | 647 | - |
dc.identifier.isi | WOS:000342399400026 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 1932-6157 | - |