期刊
STRUCTURAL SAFETY
卷 31, 期 4, 页码 325-334出版社
ELSEVIER
DOI: 10.1016/j.strusafe.2008.06.021
关键词
Extreme value estimation; Sampled time series; Approximation by conditioning; Mean exceedance rate; Monte Carlo simulation
资金
- Research Council of Norway (NFR) through the Centre for Ships and Ocean Structures (CeSOS)
The paper focuses on the development of a method for extreme value estimation based on sampled time series. It is limited to the case when the extreme values asymptotically follow the Gumbel distribution. The method is designed to account for statistical dependence between the data points in a rational way. This avoids the problem of declustering of data to ensure independence, which is a common problem for the peaks-over-threshold method. The goal has been to establish an accurate method for prediction of e.g. extreme wind speeds based on recorded data. The method will be demonstrated by application to both synthetic and real data. From a practical point of view, it seems to perform better than the POT and Gumbell methods, and it is applicable to nonstationary time series. (C) 2008 Elsevier Ltd. All rights reserved.
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