TY - JOUR

T1 - Assessing extremal dependence of North Sea storm severity

AU - Kereszturi, Monika

AU - Tawn, Jonathan Angus

AU - Jonathan, Philip

N1 - This is the author’s version of a work that was accepted for publication in Ocean Engineering. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Ocean Engineering, 118, 2016 DOI: 10.1016/j.oceaneng.2016.04.013

PY - 2016/5/15

Y1 - 2016/5/15

N2 - Extreme value theory provides asymptotically motivated methods for modelling the occurrences of extreme values of oceanographic variables, such as significant wave height at a single location. Problems are often multivariate or spatial in nature, where interest lies in the risk associated with joint occurrences of rare events, e.g. the risk to multiple offshore structures from a storm event. There are two different classes of joint tail behaviour that have very different implications: asymptotic independence suggesting that extreme events are unlikely to occur together, and asymptotic dependence implying that extreme events can occur simultaneously. It is vital to have good diagnostics to identify the appropriate dependence class. If variables are asymptotically independent, incorrectly assuming an asymptotically dependent model can lead to overestimation of the joint risk of extreme events, and hence to higher than necessary design costs of offshore structures. We develop improved diagnostics for differentiating between these two classes, which leads to increased confidence in model selection. Application to samples of North Sea sea-state and storm-peak significant wave height suggests that tail dependence changes with wave direction and distance between spatial locations, and that in most cases asymptotic independence seems to be the more appropriate assumption.

AB - Extreme value theory provides asymptotically motivated methods for modelling the occurrences of extreme values of oceanographic variables, such as significant wave height at a single location. Problems are often multivariate or spatial in nature, where interest lies in the risk associated with joint occurrences of rare events, e.g. the risk to multiple offshore structures from a storm event. There are two different classes of joint tail behaviour that have very different implications: asymptotic independence suggesting that extreme events are unlikely to occur together, and asymptotic dependence implying that extreme events can occur simultaneously. It is vital to have good diagnostics to identify the appropriate dependence class. If variables are asymptotically independent, incorrectly assuming an asymptotically dependent model can lead to overestimation of the joint risk of extreme events, and hence to higher than necessary design costs of offshore structures. We develop improved diagnostics for differentiating between these two classes, which leads to increased confidence in model selection. Application to samples of North Sea sea-state and storm-peak significant wave height suggests that tail dependence changes with wave direction and distance between spatial locations, and that in most cases asymptotic independence seems to be the more appropriate assumption.

KW - Dependence modelling

KW - Spatial extremes

KW - Significant wave height

KW - Max-stable processes

KW - Asymptotic independence

KW - Multiple hazards

U2 - 10.1016/j.oceaneng.2016.04.013

DO - 10.1016/j.oceaneng.2016.04.013

M3 - Journal article

VL - 118

SP - 242

EP - 259

JO - Ocean Engineering

JF - Ocean Engineering

SN - 0029-8018

ER -