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Novel Extreme Value Estimation Procedures: Application to Extreme Wind Data.


pdf icon Novel Extreme Value Estimation Procedures: Application to Extreme Wind Data. (837 K)
Gross, J. L.; Heckert, N. A.; Lechner, J. A.; Simiu, E.

Extreme Value Theory and Applications, Proceedings. Volume 1. 1994, Kluwer Academic Publishers, Boston, MA, Galambos, J., Editor(s), 139-158 pp, 1994.

Sponsor:

National Science Foundation, Washington, DC

Keywords:

wind velocity; wind effects; simulation; monte carlo method

Abstract:

The past two decades have seen the development of a large body of extreme value theory based on the application of the Generalized Pareto Distribution (GPD) to the excess of the extreme variate over a fixed threshold. For sufficiently large values of the extreme variates, the GPD with tail length parameters c > O and c < O is equivalent, respectively, to the Type II (Frechet) and Type III (reverse Weibull) distribution of the largest values. The Type I (Gumbel) distribution is equivalent to the limit of the GPD as c -> O. Owing to these equivalences, the GPD can be used to model extreme data obtained by either the 'peaks over threshold' approach or the epochal approach. The overall purpose of our investigation is to assess and use the potential of GPD/extreme value theory for improving our knowledge of extreme wind speed behavior. In particular we are interested in examining the issue of the extreme distribution tail length.