Nonparametric analysis of high wind speed data

Abstract

In this paper, nonparametric curve estimation methods are applied to analyze time series of wind speeds, focusing on the extreme events exceeding a chosen threshold. Classical parametric statistical approaches in this context consist in fitting a generalized Pareto distribution (GPD) to the tail of the empirical cumulative distribution, using maximum likelihood or the method of the moments to estimate the parameters of this distribution. Additionally, confidence intervals are usually computed to assess the uncertainty of the estimates. Nonparametric methods to estimate directly some quantities of interest, such as the probability of exceedance, the quantiles or return levels, or the return periods, are proposed. Moreover, bootstrap techniques are used to develop pointwise and simultaneous confidence intervals for these functions. The proposed models are applied to wind speed data in the Gulf Coast of US, comparing the results with those using the GPD approach, by means of a split-sample test. Results show that nonparametric methods are competitive with respect to the standard GPD approximations. The study is completed generating synthetic data sets and comparing the behavior of the parametric and the nonparametric estimates in this framework.