Extreme value analysis of multivariate high frequency wind speed data

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 follows a generalized Pareto distribution. In addition, we analyze the dependence structure in extreme wind speeds between two masts using bivariate extreme value models. The initial motivation for this research was in the context of renewable energy. Specifically, the extremal dynamics of wind speed at small time scales plays a critical role for designing and locating turbines on wind farms.     «

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...     »