Statistical measures of extremal dependence illustrated using measured sea surface elevations from a neighbourhood of coastal locations

Eastoe, Emma and Koukoulas, Sotirios and Jonathan, Philip (2013) Statistical measures of extremal dependence illustrated using measured sea surface elevations from a neighbourhood of coastal locations. Ocean Engineering, 62. pp. 68-77. ISSN 0029-8018

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Abstract

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 of Engineers' 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 that characteristics of conditional extremes vary systematically with distance from the conditioning site.

Item Type: Journal Article
Journal or Publication Title: Ocean Engineering
Uncontrolled Keywords: /dk/atira/pure/subjectarea/asjc/2300/2305
Subjects:
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 50515
Deposited By: ep_importer_pure
Deposited On: 27 Oct 2011 12:18
Refereed?: Yes
Published?: Published
Last Modified: 01 Jan 2020 07:40
URI: https://eprints.lancs.ac.uk/id/eprint/50515

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