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A penalised piecewise-linear model for non-stationary extreme value analysis of peaks over threshold

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
Article number113265
<mark>Journal publication date</mark>1/01/2023
<mark>Journal</mark>Ocean Engineering
Volume267
Number of pages14
Publication StatusPublished
Early online date2/12/22
<mark>Original language</mark>English

Abstract

Metocean extremes often vary systematically with covariates such as direction and season. In this work, we present non-stationary models for the size and rate of occurrence of peaks over threshold of metocean variables with respect to one- or two-dimensional covariates. The variation of model parameters with covariate is described using a piecewise-linear function in one or two dimensions, defined with respect to pre-specified node locations on the covariate domain. Parameter roughness is regulated to provide optimal predictive performance, assessed using cross-validation, within a penalised likelihood framework for inference. Parameter uncertainty is quantified using bootstrap resampling. The models are used to estimate extremes of storm-peak significant wave height with respect to direction and season for a site in the northern North Sea. A covariate representation based on a triangulation of the direction-season domain with six nodes gives good predictive performance. The penalised piecewise-linear framework provides a flexible representation of covariate effects at reasonable computational cost.