Modelling dependency effect to extreme value distributions with application to extreme wind speed at Port Elizabeth, South Africa: a frequentist and Bayesian approaches

Tadele Akeba Diriba () and Legesse Kassa Debusho ()
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Tadele Akeba Diriba: University of South Africa
Legesse Kassa Debusho: University of South Africa

Computational Statistics, 2020, vol. 35, issue 3, No 22, 1449-1479

Abstract: Abstract The dependency effect to extreme value distributions (EVDs) using the frequentist and Bayesian approaches have been used to analyse the extremes of annual and daily maximum wind speed at Port Elizabeth, South Africa. In the frequentist approach, the parameters of EVDs were estimated using maximum likelihood, whereas in the Bayesian approach the Markov Chain Monte Carlo technique with the Metropolis–Hastings algorithm was used. The results show that the EVDs fitted considering the dependency and seasonality effects with in the data series provide apparent benefits in terms of improved precision in estimation of the parameters as well as return levels of the distributions. The paper also discusses a method to construct informative priors empirically using historical data of the underlying process from other weather stations. The results from the Bayesian analysis show that posterior inference might be affected by the choice of priors used to formulate the informative priors. The Bayesian approach provides satisfactory estimation strategy in terms of precision compared to the frequentist approach, accounting for uncertainty in parameters and return levels estimation.

Keywords: Bayesian approach; Generalised extreme value; General Pareto distribution; Maximum likelihood; MCMC; Prior elicitation (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00180-019-00947-2

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