Estimating Peaks of Stationary Random Processes: A Peaks-over-Threshold Approach
This article has been corrected.
VIEW CORRECTIONPublication: ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part A: Civil Engineering
Volume 3, Issue 4
Abstract
Estimating properties of the distribution of the peak of a stochastic process from a single finite realization is a problem that arises in a variety of science and engineering applications. Furthermore, it is often the case that the realization is of length whereas the distribution of the peak is sought for a different length of time, . The procedure proposed here is based on a peaks-over-threshold extreme value model, which has an advantage over classical models used in epochal procedures because it often results in an increased size of the relevant extreme value data set. For further comparison, the translation approach depends upon the estimate of the marginal distribution of a non-Gaussian time series, which is typically difficult to perform reliably. The proposed procedure is based on a two-dimensional Poisson process model for the pressure coefficients , above the threshold . The estimated distribution of the peak value depends upon the choice of the threshold. The threshold choice is automated by selecting the threshold that minimizes a metric that captures the trade-off between bias and variance in estimation. Two versions of the proposed new procedure are developed. One version, denoted FpotMax, includes estimation of a tail length parameter with a similar interpretation of the generalized extreme value distribution tail length parameter. The second version, denoted GpotMax, assumes that the tail length parameter vanishes.
Get full access to this article
View all available purchase options and get full access to this article.
References
Casella, G., and Berger, R. L. (2002). Statistical inference, Vol. 2, Duxbury, Pacific Grove, CA.
Coles, S. (2004). “The use and misuse of extreme value models in practice.” Chapter 2, Extreme values in finance, telecommunications, and the environment, B. Finkenstädt and H. Rootzén, eds., Chapman & Hall/CRC, Boca Raton, FL, 79–100.
Cook, N. J. (1982). “Towards better estimation of extreme winds.” J. Wind Eng. Ind. Aerodyn., 9(3), 295–323.
Cook, N. J., and Mayne, J. R. (1979). “A novel working approach to the assessment of wind loads for equivalent static design.” J. Wind Eng. Ind. Aerodyn., 4(2), 149–164.
Cook, N. J., and Mayne, J. R. (1980). “A refined working approach to the assessment of wind loads for equivalent static design.” J. Wind Eng. Ind. Aerodyn., 6(1–2), 125–137.
Davenport, A. G. (1964). “Note on the distribution of the largest value of a random function with application to gust loading.” Proc. Inst. Civil Eng., 28(2), 187–196.
Efron, B., and Tibshirani, R. J. (1994). An introduction to the bootstrap, CRC Press, Boca Raton, FL.
Harris, R. I. (1999). “Improvement to the ‘method of independent storms’.” J. Wind Eng. Ind. Aerodyn., 80(1–2), 1–30.
Harris, R. I. (2009). “XIMIS, a penultimate extreme value method suitable for all types of wind climate.” J. Wind Eng. Ind. Aerodyn., 97, 271–286.
Ho, T. C. E., Surry, D., Morrish, D., and Kopp, G. A. (2005). “The UWO contribution to the NIST aerodynamic database for wind loads on low buildings. Part 1: Archiving format and basic aerodynamic data.” J. Wind Eng. Ind. Aerodyn., 93(1), 1–30.
Lieblein, J. (1974). “Efficient methods of extreme value methodology.”, National Bureau of Standards, Washington, DC.
Mannshardt-Shamseldin, E. C., Smith, R. L., Sain, S. R., Mearns, L. O., and Cooley, D. (2010). “Downscaling extremes: A comparison of extreme value distributions in point-source and gridded precipitation data.” Ann. Appl. Stat., 4(1), 484–502.
NIST. (2004). “Extreme winds and wind effects on structures.” ⟨http://www.itl.nist.gov/div898/winds/homepage.htm⟩ (Apr. 16, 2017).
Pasupathy, R. (2011). “Generating nonhomogeneous Poisson processes.” Wiley encyclopedia of operations research and management science, Wiley, Hoboken, NJ.
Peterka, J. A. (1983). “Selection of local peak pressure coefficients for wind tunnel studies of buildings.” J. Wind Eng. Ind. Aerodyn., 13(1–3), 477–488.
Pickands III, J. (1971). “The two-dimensional Poisson process and extremal processes.” J. Appl. Probab., 8(04), 745–756.
Pickands III, J. (1994). “Bayes quantile estimation and threshold selection for the generalized Pareto family.” Proc., Conf. on Extreme Value Theory and Applications, Kluwer Academic Publication, Boston.
Pintar, A. (2016). “potMax—Estimate the distribution of the maximum of a time series using peaks-over-threshold models.” ⟨https://github.com/usnistgov/potMax⟩ (Aug. 16, 2017).
Pintar, A. L., Simiu, E., Lombardo, F. T., and Levitan, M. (2015). “Maps of non-hurricane non-tornadic winds speeds with specified mean recurrence intervals for the contiguous united states using a two-dimensional Poisson process extreme value model and local regression.” ⟨http://nvlpubs.nist.gov/nistpubs/SpecialPublications/NIST.SP.500-301.pdf⟩ (Aug. 16, 2017).
R [Computer software]. R Foundation for Statistical Computing, Vienna, Austria.
Resnick, S. I. (1992). Adventures in stochastic processes, Birkhäuser, Boston.
Rice, S. O. (1954). “Mathematical analysis of random noise.” Select papers on noise and stochastic processes, N. Wax, ed., Dover, New York.
Sadek, F., and Simiu, E. (2002). “Peak non-Gaussian wind effects for database-assisted low-rise building design.” J. Eng. Mech., 530–539.
Smith, R. L. (2004). “Statistics of extremes, with applications in environment, insurance, and finance.” Chapter 1, Extreme values in finance, telecommunications, and the environment, B. Finkenstädt and H. Rootzén, eds., Chapman & Hall/CRC, Boca Raton, FL, 1–78.
Smith, R. L. (1989). “Extreme value analysis of environmental time series: An application to trend detection in ground-level ozone.” Stat. Sci., 4(4), 367–377.
Information & Authors
Information
Published In
Copyright
©2017 American Society of Civil Engineers.
History
Received: Apr 18, 2016
Accepted: May 26, 2017
Published online: Sep 11, 2017
Published in print: Dec 1, 2017
Discussion open until: Feb 11, 2018
Authors
Metrics & Citations
Metrics
Citations
Download citation
If you have the appropriate software installed, you can download article citation data to the citation manager of your choice. Simply select your manager software from the list below and click Download.