Consolidation of analysis methods for sub-annual extreme wind speeds

Transcription

1 METEOROLOGICAL APPLICATIONS Meteorol. Appl. 21: (214) Published online 8 January 213 in Wiley Online Library (wileyonlinelibrary.com) DOI: 1.12/met.1355 Consolidation of analysis methods for sub-annual extreme wind speeds Nicholas J. Cook* RWDI, Dunstable, UK ABSTRACT: This paper consolidates recent advances in methodologies in extreme-value analysis of wind speeds by using sub-annual maxima in conjunction with exact and penultimate extreme-value models. By avoiding asymptotic models and the associated issues of asymptotic convergence, the consolidated methodology is able to extend analysis further into the lower tail, greatly increasing the statistical confidence. The standard error in design predictions of dynamic pressure is reduced to less than a third of the corresponding standard error from annual maxima. The methodology is demonstrated by re-analysing wind speed data from previously published studies at sites in simple and in various mixed-mechanism climates. KEY WORDS sub-annual maxima; n-day maxima; Method of Independent Storms; Peak-over-threshold; Poisson process; Weibull distribution; Fisher Tippett Type 1 distribution; mixed climates Received 21 February 212; Revised 22 June 212; Accepted 1 July Introduction The purpose of this paper is to consolidate recent advances in the analysis of independent sub-annual maximum wind speeds in simple and in mixed climates. The paper consolidates the joint model for extremes in mixed climates of Gomes and Vickery (1978) with the Method of Independent Storms (MIS) for continuous data (Cook, 1982), and its developments, IMIS and XIMIS (Harris, 1999, 29), and with the method of n-day maxima for daily maxima and peak-over-threshold (POT) data (Simiu and Heckert, 1996) and its development, LM&S (Lombardo et al., 29). The consolidated methodology is demonstrated by re-analysing wind speed data from previously published studies Methods of obtaining independent sub-annual maxima The Method of Independent Storms (MIS) has been available since 1982 (Cook, 1982). The original extraction methodology has not changed significantly, but the method of fitting the data to a statistical model has improved in increments. As IMIS (Harris, 1999) fitted the sub-annual maxima to the asymptotic Fisher Tippett type 1 (FT1) distribution, limiting the bottom end of the fitting range to the reduced variate of the lowest annual mean in the sample, typically to y 1.2. The reason for this limit was that the bottom tail of wind speed data is limited at V =, whereas the bottom tail of the asymptotic FT1 model has no lower limit, and this region of disparity should be excluded from any fit. Thus, the original advantage in using sub-annual maxima was confined to the additional data points from the k th -highest maxima, k = 2, 3, etc, that lie between the highest and lowest annual maxima in the observations, an increase in data of about a factor of 3. It was also noted (Cook, 1982) that the annual rate of independent events was insufficient to achieve convergence to the FT1 asymptote unless the upper Correspondence to: N. J. Cook, RWDI, Unit 4, Lawrence Way, Dunstable, Bedfordshire LU6 1BD, UK. nick.cook@rwdi.com; njcook@ntlworld.com tail of the parent CDF was already close to being exponential, leading to the recommendation of dynamic pressure as the variable instead of wind speed in the UK. This field lay fallow for some years, with observed curvature in the classical FT1 Gumbel plot often being attributed to Type 2 or Type 3 behaviour instead of to non-convergence. The introduction of the Generalised Pareto Distribution (GPD) to characterize peak-over-threshold (POT) data, which requires complete convergence for its validity, led to vigorous debate (e.g. Galambos and Macri, 1999; Holmes, 22; Simiu and Lechner, 22), and new developments of extreme-value (EV) theory, showed the GPD to be inappropriate for wind data (Harris, 25). Instead, it was argued (Cook and Harris, 24, 28) that asymptotic models should be replaced by exact or penultimate models that avoid the issue of convergence. Accordingly, as XIMIS, Harris (29) extended the IMIS methodology to accommodate penultimate statistical models. Implementation of MIS (IMIS or XIMIS) requires continuous data in order to identify individual storm systems, so that the maximum wind speeds extracted from each storm are independent and the multiplication law of probability applies to these events. As the storm maxima are the outcome of discrete independent trials, the resulting distribution of annual maxima is modelled exactly by the Binomial distribution. When the annual rate of storms is large and/or the probability of exceedence is small, i.e. in the upper tail where P 1, the simpler Poisson process model can be used (See Appendix A). A key indicator for the applicability of the Poisson process model is that the time interval between such events should be exponentially distributed (Palutikof et al., 1999), referred to here as the Poisson recurrence model. Figure 1(a) shows the distribution of time between storms extracted by MIS from a 3 year record of hourly mean wind speeds at Boscombe Down, UK, plotted on axes that linearize the exponential distribution. The 5 95% confidence limits shown here, and throughout this paper, were obtained by bootstrapping the fitted parameters, using the methodology described in Cook (24). As the observations fit reasonably well within the confidence limits, it is reasonable 213 Royal Meteorological Society

2 44 N. J. Cook (a) 1 ln(1 P) (b) 1 ln(1 P) (c) ln(1 P) Storms Time between storms, t (days) Method of Independent Storms Events Time between events, t (days) Method of LM&S 2-day minimum interval Events Time between events, t (days) Method of LM&S 16-day minimum interval times must all fall between the fixed limits of n/2 and 2n. An improved method (LM&S), recently proposed by Lombardo et al. (29) for discontinuous POT data, extracts all maxima that are separated by a specified minimum time interval, but does not set an upper limit to the time between events. Figure 1(b) and (c) show the distributions of time between events for a 2 and 16 day minimum separation, respectively. As these indicate that the time interval between LM&S events is not exponentially distributed, the applicability of the Poisson process as the model for LM&S data relies on the rule-of-thumb limits given in Appendix A and empirical verification Extreme-value models Exact distribution of extremes The Binomial gives the exact distribution,, of the maximum, ˆx, of r values drawn from a parent distribution, P, of independent events, x, as: (ˆx) = P(x) r (1) from which it is clear that the form of the extreme distribution depends on the form of the parent for all finite values of r. When assessing annual maxima, r is the annual rate of all independent events and represents the upper limit to the rate of events that can be extracted from the wind record by MIS, LM&S or similar methods Parents of the exponential type The parent distribution, P(x), of any variate, x, can always be expressed as: P(x) = 1 exp( h(x)) (2) Fisher and Tippett showed that the form of (1) converges towards one to three possible types as x. 1. When h(x) more rapidly than ln(x), (ˆx) converges towards Type 1. In this case, P(x) is called a parent of the exponential type. Here, h(x) is a slowly increasing function of x which penultimately behaves like x w as x and ultimately behaves like x. For example, consider h(x) = x 2, in which case w = 2: with very large values of x, say x = 1, 11, 12...,h(x)= 1, 1 21, (x 1), i.e. h(x) behaves like a linear function of x. The Type 1 distribution is given penultimately (Cook and Harris, 24, 28) by: Figure 1. Distribution of time between events for MIS and LM&S methods. to assume that the Poisson recurrence model applies to MIS data. Often only daily maxima or POT data are available, for which several methods have been proposed. Building on the example of Jensen and Franck (197), Simiu and Heckert (1996) introduced the concept of n-day maxima : maximum values from successive periods, each of n day duration, with a minimum separation of n/2 days between events imposed to eliminate correlation. Data by this method, although independent, will always fail the key indicator for Poisson recurrence because each period produces an event, so the separation (ˆx) = exp( exp( h(x) + ln(r))) ( ( ˆx w U w )) = exp exp and asymptotically as n to: C w ( ( ˆx U (ˆx) = exp exp C )) (3) (4) The FT1 distribution is unlimited in the upper tail and has an exponential asymptote. The standard reduced variate, y for the expectation h(x), the ensemble mean from an infinite number of random trials, is from Equation (3): y = h(x) ln(n) = ln( ln( )) (5) 213 Royal Meteorological Society Meteorol. Appl. 21: (214)

3 Consolidation of analysis methods for sub-annual extreme wind speeds 45 Hence, when observations of h(x) are plotted as abscissa against ln( ln( )) as ordinate, a straight line is expected, with an intercept of ln(n). The conventional Gumbel plot, in which observations of ˆx are plotted as abscissa against ln( ln( )) as ordinate, will be a straight line when w = 1, a concave-upwards curve when w<1, a concave-downwards curve when w>1, and the intercept is U w. 2. When h(x) less rapidly than ln(x), ( ˆx) converges towards Type 2. This is also unlimited in the upper tail, increasing faster than Type 1. Type 2 distributions appear on Gumbel plots as concave-upwards curves, hence mimic Type 1 with w<1. 3. When h(x) L, a finite upper limit, (ˆx) converges towards Type 3. This appears on a Gumbel plot as a concavedownwards curve, straightening as it approaches the limit, L, but in the region of the mode (where most of the observations lie) mimics Type 1 with w>1. When observations on a Gumbel plot form a curve, it is not possible to distinguish between Type 1 with w = 1 and the corresponding Type 2 or Type 3 behaviour without a priori knowledge of the form of h(x). Inthecaseofwindspeeds, observations in single-mechanism climates are invariably very well represented by the Weibull distribution: P(V) = 1 exp( (V /C) w ) (6) and in mixed climates by the disjoint sum of two or more Weibull distributions. This is a distribution of the exponential type and leads, via the penultimate FT1 distribution, to the Type 1 distribution as the asymptote for extreme wind speeds Penultimate distributions of extremes Recently, attention has been focussed on avoiding the issues of asymptotic convergence in the upper tail by discarding asymptotic models in favour of exact, or penultimate, models. Note that here, and later in this paper, the term exact refers specifically to the relationship between the extreme and the corresponding parent. In all real-world data there is always uncertainty associated with the finite sample size, so this does not imply that exact models provide exact values. Cook and Harris (24, 28) proposed Equation (3) as the penultimate model for wind speeds because parent wind speed data conform closely to the Weibull distribution, where h(x) = (V /C) w. This model is exact for Weibull parents and is the penultimate distribution for all parents of the exponential type. In developing XIMIS by extending MIS/IMIS to accommodate penultimate models, Harris (29) re-examined the role of the Poisson process model: (ˆx) = exp( r(1 P (x))) (7) This is the form of the extremes of independent events that follow the Poisson recurrence model at an average rate, r, for any form of the parent, P. For the derivation of Equation (7) see Cook et al. (23). More generally, Equation (7) provides a very good approximation to Equation (1) within the ruleof-thumb limits given in Appendix A. Although Equation (7) is independent of any model, it uniquely links the extreme to the parent, so selecting a model for one also selects the model for the other. For parents of the exponential type, P = 1 exp( h(x)), Equation (7) becomes (3), the penultimate FT1 model of Cook and Harris (24, 28). The standard reduced variate evaluates from (7) as: y = ln( ln( ( ˆx))) = ln(1 P(x)) ln(r) (8) Where the events do not follow a Poisson process, Harris (29) demonstrated that significant differences between (8) and the series expansion of the exact expression (1) are confined to the lower tail, i.e. as P, and are equivalent in size to the error in the Cauchy approximation in the derivation of (3) (see Cook and Harris, 24 and Appendix A, here). Figure 2 compares the Poisson reduced variate y from Equation (8) with the asymptotic FT1 for various values of rate, r. The upper tails are convergent, but the lower tails are different: the Poisson process model is limited at y = ln(r) whereas the asymptotic FT1 is unlimited in the lower tail 4 2 y = ln( ln(f)) 2 4 r = 1 r = 3 r = 1 r = 3 6 FT1 r = 1 r = y = ln(1 P) ln(r) Figure 2. Poisson reduced variate (ordinate) compared with the asymptotic FT1 reduced variate (abscissa) for various rates, r. 213 Royal Meteorological Society Meteorol. Appl. 21: (214)

4 46 N. J. Cook (effectively ln(r) ). As MIS data extend well into the lower tail, this limit has important implications for the fitting range. 2. Estimating the mean reduced variate from the order statistics 2.1. The order statistics The order statistics of a sample are obtained by ranking the values in ascending or descending order of value. Conventional EVA uses the rank from the bottom in ascending order, usually denoted by m for the m th smallest value. However, some of the relevant expressions are simpler when the data are ranked in descending order of value, with rank denoted by ν for the ν th largest value, or when probability P is replaced by its complement, Q = 1 P. (See Harris, 1999, 29) The expectation, y m,ofthem th out of N ranked values of any function, y(p), is the best unbiased estimator of y m and is evaluated from the Binomial by: 1 N! y m = y(p)p m 1 [1 P ] N m dp (m 1)!(N m)! (9) It is important here to note that Equation (9) is universally applicable to all functions of P, including probability itself, i.e. including y(p) = P. This case evaluates to the Weibull (1939) estimator: P m = N! (m 1)!(N m)! 1 P m [1 P ] N m dp = m N + 1 (1) Although Gumbel (1958) advocated the use of this estimator, Gumbel noted that it produces a mean bias in estimates of the variate of all non-linear distributions. As all probability distributions in nature tend to be non-linear and follow an S-shaped curve, so all estimates for the variate using Equation (1) will be biased. A thorough discussion of this issue is given by Cook (211, 212). In most analysis and design applications, the aim is not to obtain the best unbiased estimate of probability for a given observational value, but is to obtain the best unbiased estimate of the variate for a datum (design) probability: in this case, the best estimate of the reduced variate, y. Whether or not (1) can be evaluated directly for y depends of the form of y(p) The Fisher Tippett type 1 reduced variate The expectation of the FT1 mean reduced variate, y m, for any rank is given by inserting the FT1 function for y = ln( ln( )), from (5), into (9). A closed form solution does not exist, and evaluation of (9) requires numerical integration (Harris, 1999) or a Monte-Carlo (bootstrapping) approach (Cook, 24), with the latter also able to evaluate confidence limits The Poisson reduced variate The expression for the mean reduced variate, y m,foranyrankis given by inserting the Poisson model, y = ln(1 ) ln(r), from (8), into (9). A closed form solution does exist, as given by Harris (29) for the XIMIS method: y m Poisson = ln(1 P) ln(r) = ψ(n + 1) ψ(n + 1 m) ln(r) (11) where ψ is the digamma function. Evaluation of ψ(x) is usually done by exploiting its recurrence relationship, ψ(x + 1) = ψ(x) + 1/x, starting with the value ψ(1) = γ = Evaluation of (11) is the difference of two summations: one of length N and one of length N m. Hence (11) simplifies to the single summation of length m: y m Poisson = N t=n+1 m 1 t ln(r) (12) an expression also given by Gumbel (1958, p. 117) for the case of r = 1. Implementation of (12) is computationally efficient when y is required for all ranks, since y 1 =1/N ln(r) for the first rank, then each successive rank is given from the previous by one division and one add operation. Provided this is done in at least 32-bit double precision arithmetic, values can be obtained for very large N without accumulating significant rounding errors. The issue with POT data is that the threshold excludes the lower tail, so the observations are left-censored. The population of events above the threshold is not the population required to evaluate y m Poisson in (11) or (12). If the length of the record in years is denoted by R, the unknown population of events becomes N = R r.sinceψ(x + 1) ln(x) as x, then from (11) (Harris, 28, equation 4.22): y m Poisson ln(r) ψ(n + 1 m) = ln(r) ψ(ν) (13) where ν is the rank in descending order (ν th largest value). Equation (13) is a more rigorous confirmation of the insensitivity of MIS to the annual rate than that given by Cook and Harris (24, appendix B). Equation (13) can be used for POT data, where N is unknown in value but is large. The digamma function, ψ(ν), is evaluated first for the largest value, ψ(1) = γ, then for the 2 nd largest, etc., using the recurrence relation sequentially until the smallest data value is reached. 3. Implementation of MIS and LM&S methods 3.1. Maximum annual rate of independent maxima and the relevant parent It is convenient at this point to distinguish between the annual rate of independent maxima extracted from the data record, r e, and the maximum annual rate of all independent maxima inherent in the record, r i. The ratio r e /r i can be interpreted as a measure of the efficiency of the extraction methodology in maximizing the population of values for analysis. For the temperate climate of the UK, specifically for the case of Boscombe Down which is examined later, Harris (28) found the correlation time scale to be T = h, or approximately 1 day. Given that the interest is in maxima of independent events, the shortest time between such maxima is t = 44.3 h, since at least one event minimum must exist between any two consecutive maxima. Hence the maximum annual rate of independent maxima for the temperate UK climate is r i = A method that could extract all these independent values from each year of a record would provide what Harris (28) calls the relevant parent. It follows that if the MIS or LM&S method extracts independent events at an annual rate r e then these events are directly related to the relevant parent by Equation (1), where represents the extracted maxima, P 213 Royal Meteorological Society Meteorol. Appl. 21: (214)

5 Consolidation of analysis methods for sub-annual extreme wind speeds 47 Dynamic pressure, q (Pa) Boscombe Down y (FT1) y (Poisson) MIS, w =.989, U = , C = Figure 3. MIS dynamic pressures for Boscombe Down, UK, using FT1 and Poisson ordinates. represents the parent, and r = r i /r e. Hence, providing that r i is known, or can be independently estimated, it is possible to estimate the relevant parent by inverting (1). An early attempt to formulate a model for this parent was made by Brooks et al. (1946, 195). They suggested that the wind vector be resolved into orthogonal x and y components relative to a set of arbitrarily oriented Cartesian axes, each component Normally distributed and mutually independent. As noted by Davenport (1968), this results in a parent distribution which is Rayleigh in form, i.e. Weibull with w = 2. As noted in Section 1.2.2, above, all parents of the exponential type behave penultimately like x w, hence they exhibit Weibull-distribution equivalence in the upper tail. Wind speeds are observed to be very well represented by the Weibull distribution, Equation (6), or the disjoint sum of several, but the shape parameter, w, can take a wide range of values depending on the wind mechanism. This is the basis of the penultimate extreme model proposed by Cook and Harris (24, 28) Boscombe Down, UK MIS analysis Boscombe Down has been used as an exemplar of the UK wind climate in two recent studies: Cook and Harris (24) fitted their penultimate model for y> 1.3, assuming a single climate mechanism. The observations lay well within limits, but some lay outside the more onerous 37 63% confidence limits, and, Cook and Harris (28) used the Jenkinson-Lamb index to separate the hourly mean observations into cyclonic and anticyclonic sets for separate analysis. The distribution of the hourly parent, irrespective of direction, was a very good fit to the disjoint two-mechanism Weibull model and the extremes to a joint two-mechanism penultimate FT1 model. When the standard MIS method is run on hourly mean wind speed data from Boscombe Down, the annual rate of events recovered is r e = 147, representing an extraction efficiency of around 75%. As the method extracts maxima, the data are therefore expected to have diverged slightly from the relevant parent, in accordance with Equation (1), and towards the FT1 asymptote. However, from reference to Figure 2, observations plotted using the Poisson ordinate are expected to lie close to the FT1 model down to y 4. Figure 3 shows the dynamic pressure for all ranks plotted against the mean reduced variate for the FT1 ordinate (small solid circles) and for the Poisson ordinate (large open circles). The bold curve is the fit to the penultimate FT1 model, assuming a single mechanism climate, and the chained curves are the limits on the data. The penultimate FT1 model was fitted for y Poisson > 4, with 1665 observations contributing to the fit. All model fitting in this paper was made using the multi-parameter non-linear optimizer Solver in MS Excel spreadsheets by optimizing the parameters of the model to achieve the least mean square error between y Poisson and the model y. The resulting shape factor w q =.989 for dynamic pressure gives almost a straight line, and corresponds to w V = 1.98 for wind speed which is typical of w V 2 for the UK climate. As expected, the data remain close to the fitted curve down to y Poisson = 4, much further into the tail than the y = 1.8 limit suggested by Harris (29), but is limited at y = ln(147) = 5.. On the other hand, the data plotted using the y FT1 ordinate have diverged significantly above the penultimate FT1 model by y FT1 = 3 as the lower tail asymptotically approaches the q = axis. The fitted model line intersects the q = axis at y = 5.41, giving another estimate for the rate of independent maxima, r i = 224. Comparisons of estimates for the annual rate of independent events, r i, should be made in terms of ln(r i ) as this is represents a linear shift of the variate, the so-called Poisson shift on which basis, the correlation time scale estimated by Harris (28) gives ln(r i ) = 5.3, while Figure 3 gives ln(r i ) = 5.4, matching to within 2%. Figure 4 shows the corresponding relevant parent recovered using r = 2/147 in Equation (1) which, plotted using the Poisson ordinate, gives an excellent match to the penultimate FT1 model for the full range of the observations. The bold model curve and chained confidence limits are from the MIS fit in Figure 3. The extended range includes sufficient observations to attempt a direct fit for the six parameters of the joint twomechanism penultimate FT1 model, shown by the dashed curve, which is comparable to the fit from the cyclonic/anti-cyclonic 213 Royal Meteorological Society Meteorol. Appl. 21: (214)

6 48 N. J. Cook Dynamic pressure, q (Pa) Boscombe Down MIS, w =.989, U = , C = 36.2 Parent, y (Poisson) Joint 2 mechanism MIS Figure 4. Poisson parent of MIS dynamic pressures at Boscombe Down, UK. Dynamic pressure, q (Pa) Boscombe Down MIS, w =.989, U = , C = 36.2 n = 2, y (Poisson) n = 2, y (FT1) n = 4, y (Poisson) n = 4, y (FT1) n = 8, y (Poisson) n = 8, y (FT1) n = 16, y (Poisson) n = 16, y (FT1) Figure 5. LM&S dynamic pressures for Boscombe Down, UK, using FT1 and Poisson ordinates. separated data in Cook and Harris (24). The two-mechanism mixed climate model is explored later in Section LM&S analysis Daily maxima were abstracted from the hourly dataset, then independent maxima selected by the LM&S method for separations of n = 2, 4, 8 and 16 days. The shortest separation interval, n = 2 days, gives r e = 13, representing an extraction efficiency of about 5%. The longest interval, n = 16 days, gives r e = 12, an extraction efficiency of only about 6%. Figure 5 shows the dynamic pressure for the median rank of each integer wind speed plotted against the mean reduced variate for the FT1 distribution (small solid symbols) and for the Poisson process model (large open symbols). The fit to the penultimate FT1 model from the MIS analysis of Figure 3 is included for comparison as the bold curve, and the chained curves are the limits for this. The trend for the FT1 ordinate is for the observations in the lower tail to converge gradually towards the asymptotic FT1 model, from above, as the interval increases but note that the observations for n = 16 days lie below the model. As the interval, n, increases, the rate of events extracted, r e, decreases rapidly, so that the observations plotted using the Poisson ordinate follow the trend in Figure 2. The observations on the Poisson ordinate begin to move away from the MIS model curve before they approach y = ln(r e ), and the smaller the value of r e the earlier this deviation begins. The deviation becomes significant at a position approximately ln(r i /r e ) above y = ln(r e ), i.e. at y = 2ln(r e ) + ln(r i ), and this is proposed as a reasonable rule-of-thumb for setting the lower fitting limit for LM&S data. Figure 6 shows the relevant parents recovered using r = r i /r e in Equation (1), for comparison with Figure 4. The parents lie close to the fitted MIS model curve, with n = 2 giving the best match, and with a trend for increasing slope (increasing dispersion, C) asn increases. This action removes the deviation in the lower tail and substantially increases the fitting range to y = 4 for all values of n used here. Figures 5 and 6 empirically demonstrate the validity of the Poisson process model for LM&S data in terms of the wind speed values, despite the poor match for recurrence interval in Figure Royal Meteorological Society Meteorol. Appl. 21: (214)

7 Consolidation of analysis methods for sub-annual extreme wind speeds 49 Dynamic pressure, q (Pa) Boscombe Down MIS, w =.989, U = , C = 36.2 n = 2 n = 4 n = 8 n = Figure 6. Poisson parents of LM&S dynamic pressures at Boscombe Down, UK Discussion of Boscombe Down results Table 1 lists the penultimate FT1 parameters when fitted for y> 2ln(r e ) + ln(r i ) using the Poisson ordinate. The two right-hand columns give the predicted 5 year return period dynamic pressure and the percentage difference from the datum MIS value. The LM&S predictions become increasing less accurate as n increases, underestimating by 17% for n = 16 days. It is apparent that any additional confidence that the events are uncorrelated is negated by the increase in sampling variance as the fitted population falls with increasing n. The aim should always be to use shortest interval that achieves independence. Table 2 gives the corresponding penultimate FT1 parameters for the relevant parents fitted over the full available range, i.e. for y> 5. Each case includes two to three times more events in the fit than above and this gives a large improvement in the Table 1. Penultimate FT1 parameters fitted to observations of dynamic pressure at Boscombe Down, UK. Standard MIS Lower limit: y = ln(r e ) and LM&S N fitted w (Pa) U (Pa) C (Pa) q 5 (Pa) (q 5 ) MIS LM&S n = n = n = n = Table 2. Penultimate FT1 parameters fitted to relevant parent of dynamic pressure at Boscombe Down, UK. Relevant parent Lower limit: y = 5 MIS and LM&S N fitted w (Pa) U (Pa) C (Pa) q5 (Pa) (q 5 ) MIS LM&S n = n = n = n = statistical accuracy of the parameters. The LM&S predictions gradually overestimate as n increases, but by only 1.7% for n = 16 days. There is a small, but consistent trend to greater slope (greater dispersion, C) in the LM&S curves with increasing n which is attributable to the corresponding increase in sampling variance. The ranking process subsumes the sampling variance into the variance of the observations but the mean is unchanged, so the dispersion increases and the mode decreases in value. This trend is consistent in Table 2 and is the reason that the observations for n = 16 days lie below the model on the FT1 ordinate in Figure 5. Table 3 gives the penultimate FT1 parameters for the joint two-mechanism fit to the MIS relevant parent shown in Figure 4. The top half of the table gives the parameters for dynamic pressure, while the bottom half gives the values converted to wind speed in knots for comparison with the fit in Cook and Harris (28). The results are quite closely comparable, given that the observations in Cook and Harris (28) were separated before analysis and each set fitted for three unknown parameters, while the observations in this paper were fitted together, for six unknown parameters. The difference between the single and joint models in Figure 4 is small in comparison with the range of the confidence limits. Until recently, the UK strong wind climate has been regarded as simple, i.e. dominated by Atlantic depressions, but Cook and Harris (28) showed that analysing separated cyclonic and anti-cyclonic components accounted for the observed deviations Table 3. Two-mechanism disjoint penultimate FT1 parameters fitted to relevant parent of dynamic pressure at Boscombe Down, UK. Relevant parent, two-mechanism disjoint extreme, MIS Dynamic pressure w q U q (Pa) C q (Pa) q 5 (Pa) (q 5 ) % Wind speed w V U V (kn) C V (kn) V 5 (kn) (V 5 ) % Royal Meteorological Society Meteorol. Appl. 21: (214)

8 41 N. J. Cook of the hourly parent and annual extreme distributions from the single-climate models. It remains debatable whether this represents a true mixed climate, or is simply two aspects of a single climate, and further research is being undertaken to determine this issue Confidence of model predictions The confidence limits for the observational data were computed by bootstrapping 1 trials from the fitted distribution, the 5% confidence limit being given by the 5 th smallest value and the 95% confidence limit by the 5 th largest value for each rank (Cook, 24). A similar procedure was used to construct confidence limits for the fitted model, i.e. for design predictions. The penultimate FT1 model was fitted to each trial, then distributions of the predicted variate compiled for various datum values of reduced variate, y = (.1) 6. Figure 7(a) compares the 5 and 95% confidence limits of the MIS model fit for each of the analysis methods used above, each using the same fitting range, y> 4. Note that the confidence limits are generally curved, but these in Figure 7 are nearly linear because w q 1 for this station. Unlike the data confidence limits, which apply only to each ranked observation, the confidence limits for the model fit can be extended indefinitely by enumerating the fitted model beyond the range of the data to indicate the confidence of extrapolated predictions. Note also that the confidence limits of the fit always lie inside the corresponding confidence limits of the data values because the fit tends to average out the individual sampling errors. All the sub-annual extreme methodologies compared here are significantly more accurate than using just the annual maxima. Although the differences between them are small, MIS gives the best accuracy and LM&S with a 2 day minimum separation gives the next best. Figure 7(b) compares the 5 and 95% confidence limits of the MIS model fit for various fitting ranges and shows that the accuracy of predicted design values improves significantly as the population of values used in the fit increases. The benefit of extending the fitting range into the lower tail on the accuracy of design predictions is substantial, in this case reducing the standard error of the design dynamic pressure to less than a third of the error when using just the annual maxima Mixed climates Joint distribution of extremes First proposed by Gomes and Vickery (1978), the joint model for annual maxima in an n-mechanism mixed climate is: (ˆx) = n i ( ˆx) (14) i=1 For two mechanisms, this is just = 1 2. The joint model assumes each mechanism contributes a value to each year of the record which competes with the other mechanisms to be the annual maximum. When the second of two mechanisms is rare, so that it does not contribute to some years, the jointdisjoint model applies: = (1 f) 1 + f 1 2 where f is the relative annual frequency of the rare events. Cook et al. (23) show that the joint-disjoint model reverts to the joint model (14) for Poisson distributed events: i.e. to = 1 2, where 2 is the equivalent distribution of annual maxima. This equivalent distribution, 2, is the distribution of event maxima, 2, with a Poisson shift equal to ln(f). A physical interpretation is that, in each year that the rare mechanism does not contribute an event, a notional event occurs which is so insignificant that it cannot be detected. When the mechanism is very rare, r e << 1, the Poisson shift may give the equivalent annual mode, U, a negative value. Accordingly, the Gomes and Vickery (1978) model is universally adopted for extreme wind speeds in mixed climates. (a) 5 3 years, y > 4 (b) 5 MIS, 3 years Dynamic pressure, q (Pa) MIS LM&S 2-day LM&S 4-day LM&S 8-day LM&S 16-day Annual Dynamic pressure, q (Pa) Annual, N = 3 y > 1.25, N = 16 y > 2, N = 225 y > 3, N = 612 y > 4, N = Comparison of methodologies Comparison of fitting ranges Figure 7. Five percent and 95% confidence limits of model predictions for Boscombe Down, UK. 213 Royal Meteorological Society Meteorol. Appl. 21: (214)

9 Consolidation of analysis methods for sub-annual extreme wind speeds Newark, NJ, USA Newark is one of the three stations serving the New York area used by Lombardo et al. (29) to demonstrate the LM&S methodology and the wind data are available for download from At Newark, the wind climate is mostly driven by large scale weather systems about 4 days apart, with occasional thunderstorms which dominate the extremes. The data are for a period of 2 years and comprise gust speeds exceeding 25 kn that have been rounded to integer knot values, i.e. they are POT data for a threshold of 25.5 kn. This gives an opportunity to demonstrate analyses using Equation (13), since the population and rate of all independent events are unknown, and also an opportunity to compare analyses of the separated data with the joint fit to the fulldataset. Lombardo et al. (29) used an indicator of thunderstorm activity to separate the POT data into thunderstorm (T) and non-thunderstorm (NT) events for separate analysis. Wind speed in knots was used as the variate in their analysis, and is adopted here to permit direct comparison with their figures. Figure 8 shows the results of three analyses: (a) for the separated thunderstorm events; (b) for the separated nonthunderstorm events; and (c) for the mixed set of events, with each component fitted to the penultimate FT1 model and with the corresponding limits for the data. Note that (a) and (b) are fits to three unknowns, whereas (c) is a fit to six unknowns. 1. The penultimate FT1 model is an excellent fit to the thunderstorm T events and all data values lie centrally within the confidence limits. The confidence limits are wide because there are only 15 thunderstorm events in the record. The thunderstorm component obtained from the joint fit to the mixed set (c), shown by the dot-dot-dash curve, is not a good fit to the events. (a) Wind speed, V (Kt) Newark, thunderstorm, 2 years y (Poisson) T, w = 2.39, U = 46.95, C = From joint analysis Separated thunderstorm events (b) Wind speed, V (Kt) Newark, non-thunderstorm, 2 years y (Poisson) NT, w = 4.2, U = 46.9, C = From joint analysis Separated non-thunderstorm events (c) Wind speed, V (Kt) Newark, mixed, 2 years y (Poisson) NT, w = 5.47, U = 45.13, C = T, w = 2.26, U = 49.9, C = 3.65 Joint-mixed data Joint from separated data Mixed thunderstorm and non-thunderstorm events Figure 8. LM&S wind speeds for Newark, USA, fitted to penultimate FT1 model. 213 Royal Meteorological Society Meteorol. Appl. 21: (214)

10 412 N. J. Cook 2. The penultimate FT1 model is a very good fit to the nonthunderstorm NT events, lying within the confidence limits, but a systematic ripple in the data suggests that these events may be a mixture of contributions from two or more mechanisms. The non-thunderstorm component from the joint fit to the mixed set (c), the dot-dot-dash curve, is not a good fit to the events. 3. The joint penultimate FT1 model is a very good fit to the mixed events, lying within the confidence limits. The individual T and NT components from the joint six-parameter fit are shown as dashed curves for comparison with (a) and (b). The joint model, Equation (14), synthesized from the separate analyses in (a) and (b), shown by the dot-dot-dash curve, is almost coincident with the joint fit to the mixed events. In all three cases, the lower end of the fit is limited at 26 kn due to the threshold, the lower tail is censored. These three analyses illustrate the principal benefit of separating the components of mixed data before analysis. Although the joint model is virtually identical in both cases, the individual components obtained from the joint fit to the mixed data are a poor match to the corresponding separated data. This is because the joint fit to the mixed data optimizes the six parameters together, so is unable to detect or eliminate compensating errors between the three parameters defining each component A consistent methodology for suspected mixed climates In the example analyses above, Newark is clearly a mixed climate case, with two, perhaps three, separate mechanisms. For Boscombe Down the case for a mixed climate is debatable: are cyclonic and anti-cyclonic really two separate mechanisms, or are they just two anti-symmetric aspects of the same mechanism? The data confidence limits provide a pragmatic method to indicate when it is appropriate to admit another mechanism to the analysis. The following procedure is proposed. 1. Fit the full data set to a single penultimate FT1 model. 2. Apply the confidence limits evaluated from the fitted parameters (e.g. as in Cook, 24): a. if the data lie within the confidence limits there is no statistical justification for admitting a second mechanism any variations within the limits may be due to chance; b. if the data systematically breach the confidence limits admit another mechanism and re-fit the data to the joint model. Systematically in this context means a consistent trend that involves a number of adjacent data values, excluding individual outliers. 3. Repeat step 2 until all data lie systematically within the confidence limits. The choice of level for the confidence limits is open to debate. Conventionally, 5 95% limits are used to indicate that the current model fails, whereas 37 63% limits are used to indicate that the current model does not fail. In the first case another mechanism should be admitted, and in the second case no further mechanisms should be admitted. This leaves a grey area between, in which it is not necessary to add another mechanism, but it may not be inappropriate to try. This is a classic sum of exponentials problem which, as noted by Lanczos (1956), is notoriously poorly conditioned. Each additional mechanism adds extra degrees of freedom which always reduce the residual errors in the fit, but Lanczos shows that adding too many produces unrealistic individual components. In this case too many means more than the number of significant physical mechanisms. When the range of the data is confined to the transition region between two component mechanisms it is also possible that the observations may remain inside the confidence limits for a single mechanism with w V < 1, mimicking a Type 2 distribution. In this event it is necessary to appeal to the observed physical mechanisms contributing to strong winds, especially for POT data where the lower tail is censored and the confidence limits are wide. When the original data has been rounded to integer values, both MIS and LM&S methods will produce many tied values. In the lower half of the distribution, the spread of these ties will be wider than the confidence limits. Lombardo et al. (29) address this issue by distributing the tied values evenly through the rounding interval. Here the problem is addressed by using only the median rank of each set of ties. The issue of the appropriate weighting for each rank in computing the residual error is also open to debate. Harris (29) advocated weighting each rank by the inverse of the sampling variance, i.e. by 1/σ 2 (y), so that each value has the same statistical accuracy. Where the wind speeds are rounded to integer values, as here, there is an additional component from the discretisation variance, σ 2 (V ), which will dominate the uncertainty in the lower tail, in which case the appropriate weight is 1/(σ 2 (y) + [σ(v) y/ V] 2 ). The complication in admitting the discretisation variance is the y/ V term depends on the fit, so becomes an element in the fitting process. When using only the median ranks for each wind speed, each value should also be weighted by the number of ties to restore the weights of the missing values. Experience shows that weighting by the inverse of the total variance is appropriate when fitting to a single-mechanism model, because it favours the region around the mode and reduces the influence of the less reliable upper tail. However, experience with fitting two, or more, mechanisms shows that this weighting scheme may fail to recognize a second mechanism affecting the upper tail. It may instead assign the second mechanism to a random deviation in the lower tail where there are more observations. Each integer value of wind speed has an equal influence on the fit when each median rank is assigned an equal weight, in which case the second mechanism is always assigned to the most significant deviation within the wind speed range. This is the weighting scheme adopted for Changi, below Changi, Singapore Changi, which lies about 1 N of the Equator, is one of the three stations analysed by Choi and Tanurdjaja (22) in their study of the mixed wind climate of Singapore. They report seasonal variations in the wind climate between strongly diurnal Monsoon winds, short duration tropical thunderstorms and dawn squalls ( Sumatras ). Continuous data were separated into long term (Monsoon) and short term (thunderstorm/squall) events. Independence was ensured through the Simiu and Heckert (1996) n-day extreme method, using n = 4 8 days for the long-term data and n = 1 day for the short term data. They performed their analyses using IMIS (Harris, 1999), which implies fitting the asymptotic FT1 distribution to the dynamic pressure, hence w V = 2, so that the fitted model plotted on standard Gumbel axes is a concave-downwards curve. Choi and Tanurdjaja s figures exhibit the same characteristic 213 Royal Meteorological Society Meteorol. Appl. 21: (214)

11 Consolidation of analysis methods for sub-annual extreme wind speeds 413 (a) Wind speed, V (kt) Singapore, y (Poisson), medians FT1, w = 2.6, U = 18.99, C = % confidence Single mechanism penultimate FT1 fit (b) Wind speed, V (kt) Singapore, y (Poisson), medians Joint model 37 63% confidence w = 1.66, U = 18.7, C = 7.25 w = 5.5, U = 16.34, C = Joint two mechanism penultimate FT1 fit Figure 9. MIS 1 min mean wind speeds for Changi, Singapore. deviation in the lower tail that appears in Figures 3 and 5, here, for the FT1 ordinate. As Choi and Tanurdjaja s source data were not readily available for this study, a 25 year record of the 1 min mean wind speed at Changi, recorded at 3 h intervals, was purchased from the US National Climatic Data Centre. Independent storm maxima were extracted using the MIS procedure (Cook, 1982), giving an annual rate of r e = 142. These were not separated by mechanism and no attempt was made to recover the relevant parent. Figure 9(a) shows the single mechanism penultimate FT1 fit to the storm maximum wind speeds, plotted using the Poisson ordinate for the median rank at each integer knot wind speed. There is a clear systematic ripple that crosses outside the 5 and 95% confidence limits, indicating that a single model is not appropriate. Figure 9(b) shows the corresponding joint twomechanism penultimate FT1 fit, and also the model curves for the two individual components. As the joint model fit lies within the 37 and 63% confidence limits, the conditions of the proposed methodology in Section are satisfied. The joint fit is closely comparable with Choi and Tanurdjaja s joint distribution synthesized from their analyses of separated data, except that their distributions are forced to w V = 2. This analysis indicates that the second mechanism has a very high shape parameter, w V = 5.5, so has a very short upper tail. It has no significant impact on wind speeds above the annual mode, but accounting for it improves the fit to the first, dominant mechanism, w V = This result is entirely consistent with Choi and Tanurdjaja s conclusions. 4. Conclusions This paper demonstrates an analysis methodology for subannual extreme wind speeds that consolidates recent advances in the analysis of independent sub-annual maximum wind speeds in simple and mixed climates. MIS remains an effective procedure for extracting independent sub-annual maxima from continuous wind records. The LM&S method is effective with discontinuous or POT wind data. When the expected annual rate of independent events is independently known, the relevant parent of the sub-annual maxima can be recovered. The Poisson process model is independent of any extreme value model, exact, penultimate or ultimate, that may be adopted for fitting. Sub-annual extremes of wind speeds represented by the Poisson process model exhibit the expected asymptotic behaviour of parents of the exponential type in 213 Royal Meteorological Society Meteorol. Appl. 21: (214)

12 414 N. J. Cook both the upper and lower tails. This permits fitting further into the lower tail than in earlier methodologies, with many more observations contributing to the fit, so giving a substantial improvement in statistical confidence. The Poisson process model links the extremes explicitly to their parent distribution, the selection of one defines the other. For parents of the exponential type, the extremes of x behave penultimately as x w and imply that the parent is Weibull distributed in the upper tail and that the extremes follow the penultimate model of Cook and Harris (24, 28). A major advantage of this model is that the choice of wind speed, V, or dynamic pressure, q, as the variate for analysis makes absolutely no difference to the result, since: w q = w V /2, U q = 2 1 ρu2 V and C q = 2 1 ρc2 V. On the other hand, the asymptotic model, which is linear in terms of the variate, gives a different result for V and for q (Cook, 1982). Empirical arguments over which asymptotic model is best as in An and Pandey (27), or whether the distribution is better represented as Type 2 or Type 3 as in Lechner et al. (1993), become redundant when the penultimate model is used. The consolidated methodology complies with the expectation of extreme-value theory and is empirically validated by the analyses of example sites in differing wind climates around the world presented in this paper. Acknowledgement Useful discussions with R. I. Harris in the UK and the assistance of J. A. Main at NIST, USA in providing the thunderstorm/non-thunderstorm separated data for Newark are gratefully acknowledged. Appendix A. Relating the Binomial and Poisson process models for the annual maxima from independent storms. The exact distribution of annual maxima from independent storm maxima, derived through the multiplication law of probability, is given by Equation (1). Substituting Q = 1 P(x) and expanding as a Binomial series gives: (ˆx) = P(x) r = (1 Q) r = 1 rq + r(r 1)(r 2) Q r(r 1) Q 2 2 = 1 + ( 1) n r! (r n)! n! Qn (A.1) Similarly, the series expansion for the Poisson process model given by Equation (7) becomes: (ˆx) = exp( r(1 P (x))) = e rq = 1 rq + r2 2 Q2 r3 2 3 Q3... = 1 + ( 1) n rn n! Qn (A.2) The first two terms in each expansion are identical. Third and successive terms differ only in the treatment of the annual rate, r. When rq < 1, i.e. in the upper tail of, the two series converge rapidly. When r>>n, r! (r n)! = r n and the two series are almost identical, term for term. Accordingly, the Poisson process is a good model for the Binomial when r 1 and Q.5 are used as rule-of-thumb limits. References An Y, Pandey MD. 27. The r-largest order statistics model for extreme wind speed estimation. J. Wind Eng. Ind. 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