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Titel:

Extreme value analysis of multivariate high frequency wind speed data

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Steinkohl, C., Davis, R., and Klüppelberg, C.
Abstract:
In this paper we analyze the extremal behaviour of wind speed with a measurement frequency of 8 Hz located on three meteorological masts in Denmark. In the first part of this article we set up a conditional model for the time series consisting of threshold exceedances from maxima per second for two consecutive days. The model directly captures the non-stationary nature of wind speed during the day. We assume that the conditional distribution of an exceedance given previous exceedances follo...     »
Stichworte:
wind speed, generalized Pareto distribution, bivariate extreme value theory
Zeitschriftentitel:
Journal of Statistical Theory and Practice
Jahr:
2013
Band / Volume:
7
Heft / Issue:
1
Seitenangaben Beitrag:
73-94
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1080/15598608.2013.756346
WWW:
http://www.tandfonline.com/doi/abs/10.1080/15598608.2013.756346
Verlag / Institution:
Taylor & Francis
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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