Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Statistical measures of extremal dependence illustrated using measured sea surface elevations from a neighbourhood of coastal locations
AU - Eastoe, Emma
AU - Koukoulas, Sotirios
AU - Jonathan, Philip
PY - 2013/4/1
Y1 - 2013/4/1
N2 - The extremal dependence of stationary time-series at pairs of locations can be summarised using one or more of a number of statistics. We illustrate the application of the coefficient of tail dependence, the $\chi$ and $\bar{\chi}$ statistics, and the conditional extremes model of Heffernan--Tawn to estimate the extremal dependence in time-series of 3-hour maxima of sea surface elevation across a spatial array of measurement gauges at the US Army Corps ofEngineers' Field Research Facility on the Atlantic coast of North Carolina. Although the original data are non-stationary, we induce stationarity on a site-by-site basis using a non-parametric model to remove the mean trend. Subsequently, we find that pairs of locations are generally asymptotically dependent. Parameter estimates for the Heffernan--Tawn model, although uncertain, suggest thatcharacteristics of conditional extremes vary systematically with distance from the conditioning site.
AB - The extremal dependence of stationary time-series at pairs of locations can be summarised using one or more of a number of statistics. We illustrate the application of the coefficient of tail dependence, the $\chi$ and $\bar{\chi}$ statistics, and the conditional extremes model of Heffernan--Tawn to estimate the extremal dependence in time-series of 3-hour maxima of sea surface elevation across a spatial array of measurement gauges at the US Army Corps ofEngineers' Field Research Facility on the Atlantic coast of North Carolina. Although the original data are non-stationary, we induce stationarity on a site-by-site basis using a non-parametric model to remove the mean trend. Subsequently, we find that pairs of locations are generally asymptotically dependent. Parameter estimates for the Heffernan--Tawn model, although uncertain, suggest thatcharacteristics of conditional extremes vary systematically with distance from the conditioning site.
KW - Extreme waves
KW - Extremal dependence
KW - Statistical models
KW - Non-stationarity
KW - Peaks over threshold
KW - Generalised Pareto
KW - Conditional extremes
U2 - 10.1016/j.oceaneng.2013.01.002
DO - 10.1016/j.oceaneng.2013.01.002
M3 - Journal article
VL - 62
SP - 68
EP - 77
JO - Ocean Engineering
JF - Ocean Engineering
SN - 0029-8018
ER -