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Journal of Wind Engineering and Industrial Aerodynamics 93 (2005) 535545 www.elsevier.com/locate/jweia

Technical note

A comparison of methods of extreme wind speed estimation

Ying An, M.D. Pandey
Department of Civil Engineering, University of Waterloo, Waterloo, Ont., Canada N2L 3G1 Received 8 March 2004; received in revised form 13 April 2005; accepted 4 May 2005 Available online 11 July 2005

Abstract The paper presents a comparative assessment of methods for extreme value analysis of the US wind speed data using four different methods, namely Standard Gumbel, Modied Gumbel, Peaks-Over-Threshold (POT) and Method of Independent Storms (MIS). The analysis highlights the inuence of methodological assumptions on the estimates of design wind speed corresponding to 50-year and 500-year return period. The results demonstrate that the MIS method leads to more stable quantile estimates than the POT method. r 2005 Elsevier Ltd. All rights reserved.
Keywords: Wind speed; Extreme value estimation; Pareto distribution; Gumbel distribution; Peaks-overthreshold method; Method of independent storms; Return period

1. Introduction There are two general classes of statistical models for the quantile estimation of extreme wind speed, namely annual-maxima and Peaks-Over-Threshold (POT) methods. In the rst method, the Gumbel distribution is tted to a sample of annual maximum values recorded over a period of time. It is referred to Standard Gumbel (SG) method [1]. Harris [2] proposed a Modied Gumbel (MG) approach in which
Corresponding author. Tel.: 519 888 4567x5858; fax: 519 888 4349.

E-mail addresses: y3an@engmail.uwaterloo.ca (Y. An), mdpandey@uwaterloo.ca (M.D. Pandey). 0167-6105/$ - see front matter r 2005 Elsevier Ltd. All rights reserved. doi:10.1016/j.jweia.2005.05.003

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parametric plotting positions and weighted least-squares method are applied for tting the Gumbel model to a sample of annual maxima. The POT method considers, instead of just annual maxima, several of the largest order statistics exceeding a sufciently high threshold in the collected data. In this manner, the data set is enlarged to decrease the sampling uncertainty. This method has gained wide acceptance in the eld of extreme value estimation due to Pickandss work [3] in which the generalized Pareto distribution (GPD) was proved to be the limiting distribution of peaks. Simiu and Heckert [4] applied this approach to estimate the design wind speed in the US. Cook [5] proposed the Method of Independent Storms (MIS) that analyzes a time series of storm maxima modelled by the Gumbel distribution. The method was rened by Harris [6], and it includes two parts: (a) obtaining a subset of independent maxima by identifying storms; and (b) tting the storm maxima by the Gumbel distribution. The primary objective of the paper is to study the impact of methodological differences on extreme quantile estimates of the wind speed. We apply POT, MIS, SG and MG methods to common wind speed data sets and study the differences in quantile estimates. For illustrative purposes, data sets of wind speed collected at six stations in the US, namely, Albuquerque, Boise, Denver, Moline, Toledo and Tucson [4], are analyzed, and results are discussed in the paper.

2. Annual-maxima method 2.1. Standard Gumbel method In this method, a sample of annual maximum values of wind speed (x) is directly modelled by the Gumbel distribution F x expeaxP , (1)

where a and P are referred to as the measure of the dispersion and characteristic product, respectively. The empirical distribution is plotted on the Gumbel probability paper. a and P are estimated using the method of classical leastsquares. Note that the rank-mean plotting positions, i=n 1, are typically used, which is the mean value of an ith order statistics in a sample of size n. This is an unbiased, non-parametric estimate, because no assumption is introduced about the distribution type. 2.2. Modied Gumbel method Harris [2] proposed modications of the Standard Gumbel method by revising the plotting positions and using the weighted least-square method for the estimation of the distribution parameters. Using the fact that the domain of attraction of extreme wind speed is Gumbel distribution, Harris explicitly derived the mean ranks for vth

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Gumbel order statistics in a sample of N as: Z 1 n! yv ln lnzznv 1 zv1 dz, v 1!n v! 0

(2)

where z F x denotes the Gumbel cumulative probability distribution given in Eq. (1). This method uses a weighted-least-squares technique to t a line on the Gumbel probability paper. The weight is taken as inversely proportional to the corresponding ranks standard deviation. The parameters of straight line y ax P on Gumbel paper are obtained by minimizing the quantity S 2 as S2
n X v1

wv v aqv P2 subject to y

n X

1=s2 wv 1 and wv Pn v 2 , v1 1=sv v1

(3)

where qv is value of squared wind speed and yv is the rank-mean plotting position; wv and sv are weight and standard deviation for rank vth sample, respectively. Note that the classical least-squares technique used in the Standard Gumbel method assumes or presumes that the standard deviations associated with the order statistics are statistically uniform. This approach, MG contends, is not suitable for tting extreme value data due to the fact that scatter associated with the plotted probability ordinates is not identical, but varies systematically, e.g., being largest for the largest value. Consequently, the classical least-squares method places higher weight on sample extremes. 3. Peaks-over-threshold approach To model the upper tail of the wind speed distribution, consider k exceedances of X (n samples) over a threshold u and let Y 1 , Y 2 , y, Y k denote the peaks, i.e., Y X i u. Pickands [3] showed that in some asymptotic sense, the conditional cumulative distribution of the excess Y X u of the variate X over the threshold u given X 4u for u sufciently large, i.e., PY X i 2uoyjX i 4u, follows the GPD:   cy h 1=c , (4) Gy 1 1 a where h, a and c denote the location, scale and shape parameters, respectively. Generally, the location parameter is taken as zero. The distribution has unbounded upper tail, i.e., 0oyo1 if cX0 and bounded as 0oyoa=c if co0. Simiu and Heckert [4] adopted the De Haan method [7] for the estimation of the scale and shape parameters with the order statistics of exceedances, {Xnk,y, Xn}, where Xnk is the smallest data point to exceed a given threshold. The shape parameter is computed as !1 1 M 1 2 1 n 1 c c1 c2 where c1 M n and c2 1 (5) 2 M 2 n

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by means of moments of excesses obtained from the log-transformed data: M r n

k 1X logX ni1 logX nk r . k i1

(6)

The scale parameter can be obtained by au M 1 n where r 1 if cX0; and r 1=1 c if co0. r (7)

A quantile value, xR , corresponding to an R-year return period is calculated from the quantile of peaks corresponding to a return period of lR, where l is the mean exceedance (or crossing) rate per year. If n denotes the number of samples collected over T years and k is the number of exceedances, then l k=T. Finally, a required quantile value can be estimated as   1 1 xR G 1 u. (8) lR The POT is a useful alternative to the popular Gumbel method in the eld of extreme value estimation. However, the threshold sensitivity of quantile estimates is a topic of concern. The experience suggests that a very high threshold resulting in a small POT sample would increase the sampling uncertainty (variance) associated with a quantile estimate. On the other hand, as threshold is lowered to include more data, quantile bias tends to increase [8]. In this sense, it is expected that an optimal threshold might exist that would minimize both bias and variance. Galambos and Macri [9] pointed a critical limitation that the POT method is an asymptotic concept, and the necessary limiting assumptions cannot be satised in a small data set. The reason is that although k top order statistics used in the analysis, k must be quite large, while the ratio k=n must be very small. The rst requirement on k demands its value in the order of hundreds, the second condition requires a very large sample size of the order of say 100,000. Galambos and Macri [9] argued that k is not sufciently large in the POT analysis of wind data presented in [4], which can lead to erroneous estimates of the GPD shape parameter. Another source of error can be the measurement (or round off) error associated with the wind speed as well as the threshold value u. Because of this, the relative error associated with an excess (X u) increases considerably. For example, take X 25 0:5 mph and u 20 0:5 mph. There is a 2% error associated with X , but the error associated with excess, (2570.52070.5 570.1 mph), becomes 20%.

4. Modied Independent Storms Method (MIS) In the Method of Independent Storms (MIS), a continuous time series of wind speed records is examined to identify wind storms. The downward crossings of wind speed below a chosen threshold denes the beginning of the lulls in the record, and the wind speed records between each pair of lulls are considered as a part of an

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45 41
Storm-1 Storm-2
Time series of Denver.CO Threshold ( u = 29 mph ) MIS points POT points

37 Wind Speed (mph) 33 29 25 21 17 13 9 0 2 4 6

8 10 12 14 16 18 20 22 24 26 22 30 32 34 36 38 40 42 44 46 48 50 Day

Fig. 1. Illustration of difference between MIS points and POT points.

independent storm (Fig. 1). The maximum speed in each independent storm is selected to form a sample of extreme values. Although POT and MIS appear similar in implementation, there are subtle conceptual differences, as shown in Fig. 1. The POT considers the values exceeding over a threshold, i.e., excesses X u, which should be independent values. Nevertheless, it is possible that excesses within one storm might be included in the POT data set, as shown in Fig. 1 (without correlation consideration here for the purpose of illustration). On the other hand, the MIS uses the actual values of storm maxima, and ignores other smaller peaks within a storm. Furthermore, increasing threshold in MIS only reduces the number of independent values in the sample, while it affects both the number and magnitude of excesses in the POT analysis. Suppose an R-year of time series n independent storm maxima above a threshold u are chosen. The distribution of storm maxima above the threshold is given as 8 < F x F u ; x4u; 1 F u G x (9) : 0; xpu: The average annual rate of occurrence of storms is denoted by r where r n=R. It is assumed that the occurrence of storms is sufciently uniform that the number of storms in any given wind year does not differ signicantly from r. The distribution of maxima of r independent storms is given as Gx Gxr . (10)

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Considering that the storm maxima converge to the Gumbel distribution, ln ln Gx ordinates are plotted against the sample order statistics of wind speed. Following the concept of the modied Gumbel method, Harris [6] derived the parametric plotting position formula and recommended a weighted least-squares method for estimating the distribution parameters. The major difference between MG and MIS is that only the some upmost samples of the n observations are used in MIS. The effect of threshold on the sizes of upmost samples for MIS method is illustrated in Fig. 3.

5. Numerical results 5.1. Wind speed data The four methods of extreme wind speed analysis, namely SG, MG, MIS and POT, are applied to the US wind speed data. The data consist of time series of 4-dayinterval maxima recorded at six stations, namely Albuquerque (NM), Boise (ID), Denver (CO), Moline (IL), Toledo (OH) and Tucson (AZ). These stations are located in the regions where hurricanes and tropical storms are not expected. Additional information is presented in Table 1. The sample size considered in the POT and MIS methods depends on the threshold. The sample size decreases as threshold wind speed is raised (Fig. 2). The wind speed data and the POT analysis program were provided by Simiu and Heckert [4]. Computer programs for MIS and MG methods are adopted from the original references [2,6]. In MIS and MG methods wind speed data were preconditioned by a square transformation, i.e., distribution was tted to X 2 , whereas POT and SG utilized the original wind speed X . However, results of all the methods are compared on the basis of the wind speed in mph units. 5.2. Discussion of results Numerical results for 50 and 500-year wind speed quantile are plotted against the threshold velocity in Figs. 49. In these gures, note that increasing value of
Table 1 Information about the US wind speed data sets Location Period Number of years 15 15 19 23 15 25 Wind speed measurements Condition of measurement

Moline, IL Tucson, AZ Albuquerque, NM Boise, ID Denver, CO Toledo, OH

1965/11979/12 1965/11979/12 1965/11983/12 1965/11987/12 1965/11979/11 1965/11989/12

Daily fastest mile wind speeds

10 m above ground in open terrain

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threshold on the X-axis implies decreasing size of the sample, as shown in Figs. 2 and 3. Results of the Gumbel methods (SG and MG) are independent of the threshold, as they utilize a complete sample of annual maxima. The standard Gumbel method appears to provide an upper bound estimate in most cases. Albuquerque and Boise shown in Figs. 6 and 7, respectively, are exceptions to this observation, where MG provides upper bound estimates. The quantile estimates obtained from MG are quite close (within 10%) to SG estimates. In general, POT estimates exhibit large variation with respect to the threshold speed. Such high threshold sensitivity is recognized as a limitation of POT method, as it makes it difcult to identify a representative quantile value. A possible reason for this variability is that the Pareto model is only applicable to a narrow and unidentiable range of exceedence data [10]. From Figs. 49, it can be clearly observed that the POT estimates are only reasonable while the threshold is raised up to a high enough level in line with the discussion in the paper by Davison and Smith [10]. In contrast with POT methods, MIS estimates follow a smoother trend with very limited variability with respect to the threshold speed. The MIS curve tends to be lower than those of MG and SG or within the band of SG MG lines. The reason

Moline 1000 Tucson 900 Albuquerque 800 Boise Number of Data Points 700 Denver 600 Tovledo 500 400 300 200 100 0 18 22 26 30 34 38 Thresholds (mph) 42 46 50

Fig. 2. The effect of threshold on the sizes of samples for POT method.

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60 55 50 45 Number of Data 40 35 30 25 20 15 10 5 0 16 18 20 22 24 26 28 30 32 34 36 38 40 Threshold (mph) 42 44 46 48 50 52 54

Albuquerque.nm Boise.id Denver.co Moline.il Tv Tucson.az

Fig. 3. The effect of threshold on the sizes of upmost samples for MIS method.

why MIS has stable estimation with respect to the threshold might be mainly caused by the largest samples selecting strategy in which only some top values are considered during the calculation of weighted plotting positions for Gumbel analysis. Both of amounts and values of those upmost samples are not changed a lot while the threshold is raised up. There are some difculties for numerical integration by which the weighted positions for Gumbel plotting can be calculated during the implement of MIS. To deal with the problem MIS gives modied numerical method in which the over- and under-ow problems are avoided, but, some constraint for this modied numerical integration causes the limitation of the largest threshold level above which the integration cannot go further any more. This limitation should be addressed in the future. Although the paper presents numerical results for six stations only, we have analyzed many other stations and obtained qualitatively similar results. It is implicit in the analysis that there is only one dominant wind mechanism at each site. In reality however some records might be a result of mixed wind climates, which could be a reason for differences observed in the quantile estimates.

6. Conclusion The paper presents a comparison of four different methods of extreme wind speed estimation. The comparison includes SG, MG, POT and the MIS. These

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four methods are applied to a common data set that consists of six stations in the US. The general conclusions of the paper are

 

The SG method tends to provide an upper bound estimate of 50/500 year design wind speed. The MIS estimates of design wind speed exhibit a more stable trend with limited threshold sensitivity, which is in contrast with rapidly uctuating estimates obtained from the POT methods.

Appendix. A See Figs. 49.

75 Quantile (mph) Quantile (mph) 70 65 60 55 50 45

POT MIS MG SG

90 85 80 75 70 65 60 55 50

POT MIS MG SG

(a)

23 25 27 29 31 33 35 37 39 41 43 45 47 Threshold (mph)

(b)

23 25 27 29 31 33 35 37 39 41 43 45 47 Threshold (mph)

Fig. 4. The (a) 50-year and (b) 500-year quantile estimates for Moline (IL).

80 75 70 65 60 55 50 45 40 35 30

POT MIS MG SG

110 100 90 80 70 60 50 40 30

Quantile (mph)

Quantile (mph)

POT MIS MG SG

(a)

18 20 22 24 26 28 30 32 34 36 38 40 42 Threshold (mph)

(b)

18 20 22 24 26 28 30 32 34 36 38 40 42 Threshold (mph)

Fig. 5. The (a) 50-year and (b) 500-year quantile estimates for Tucson (AZ).

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75 70 Quantile (mph) 65 60 55 50 45 POT MIS MG SG 28 30 32 34 36 38 40 42 44 46 48 50 52 Threshold (mph) Quantile (mph)

Y. An, M.D. Pandey / J. Wind Eng. Ind. Aerodyn. 93 (2005) 535545

80 75 70 65 60 55 50 45 40 POT MIS MG SG 28 30 32 34 36 38 40 42 44 46 48 50 52 Threshold (mph)

(a)

(b)

Fig. 6. The (a) 50-year and (b) 500-year quantile estimates for Albuquerque (NM).

60 55 Quantile (mph) 50 45 40 35 30 25 (a) POT MIS MG SG 18 20 22 24 26 28 30 32 34 36 38 40 42 Threshold (mph) Quantile (mph)

70 65 60 55 50 45 40 35 30 25

POT MIS MG SG 18 20 22 24 26 28 30 32 34 36 38 40 42 Threshold (mph)

(b)

Fig. 7. The (a) 50-year and (b) 500-year quantile estimates for Boise (ID).

70 65 60 55 50 45 40 35 30

POT MIS MG SG 22 24 26 28 30 32 34 36 38 40 42 44 46 Threshold (mph)

85 80 75 70 65 60 55 50 45 40 35 30

Quantile (mph)

Quantile (mph)

POT MIS MG SG 22 24 26 28 30 32 34 36 38 40 42 44 46 Threshold (mph)

(a)

(b)

Fig. 8. The (a) 50-year and (b) 500-year quantile estimates for Denver (CO).

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65 Quantile (mph) Quantile (mph) 60 55 50 45 40 35 (a) 21 23 25 27 29 31 33 35 37 39 41 43 45 Threshold (mph) (b) POT MIS MG SG

75 70 65 60 55 50 45 40 35

POT MIS MG SG 21 23 25 27 29 31 33 35 37 39 41 43 45 Threshold (mph)

Fig. 9. The (a) 50-year and (b) 500-year quantile estimates for Toledo (OH).

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