Extremes analysis with empirical data
Assume
ViVi size 12{V rSub { size 8{i} } } {} the values of incidental variable
VV size 12{V} {} at time
ii size 12{i} {} and
X(m)=maxV1,V2,...,VmX(m)=maxV1,V2,...,Vm size 12{X rSup { size 8{ \( m \) } } ="max" left lbrace V rSub { size 8{1} } , V rSub { size 8{2} } , "." "." "." , V rSub { size 8{m} } right rbrace } {};
X(m)=minV1,V2,...,VmX(m)=minV1,V2,...,Vm size 12{X rSub { size 8{ \( m \) } } ="min" left lbrace V rSub { size 8{1} } , V rSub { size 8{2} } , "." "." "." , V rSub { size 8{m} } right rbrace } {}.
One is often interest in estimation the probability with which maximal or minimal value exceeds a threshold,
P{X(m)>x}P{X(m)>x} size 12{P lbrace X rSup { size 8{ \( m \) } } >x rbrace } {} or
P{X(m)<x}P{X(m)<x} size 12{P lbrace X rSub { size 8{ \( m \) } } <x rbrace } {}. If the observations on the hydrometeorological parameters are independent and distribute differently due to distribution function
F(x)=P{Vi≤x}F(x)=P{Vi≤x} size 12{F \( x \) =P lbrace V rSub { size 8{i} } <= x rbrace } {}, the precise distribution of maximum and minimum can be expressed:
P{X(m)≤x}=[F(x)]mP{X(m)≤x}=[F(x)]m size 12{P lbrace X rSup { size 8{ \( m \) } } <= x rbrace = \[ F \( x \) \] rSup { size 8{m} } } {} and
P{X(m)≤x}=1−[1−F(x)]mP{X(m)≤x}=1−[1−F(x)]m size 12{P lbrace X rSub { size 8{ \( m \) } } <= x rbrace =1 - \[ 1 - F \( x \) \] rSup { size 8{m} } } {} (1)
The extremes analysis theory says that with the enough length of sample
mm size 12{m} {}, the probability distribution of the normalized maximum
Y(m)=(X(m)−um)/bmY(m)=(X(m)−um)/bm size 12{Y rSup { size 8{ \( m \) } } = \( X rSup { size 8{ {} rSub { size 6{ \( m \) } } } } - u rSub {m} size 12{ \) /b rSub {m} }} {},
bm>0bm>0 size 12{b rSub { size 8{m} } >0} {} can be approximated by one of the three following forms of asymptotic function
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G
1
(
y
)
=
exp
(
−
e
−
y
)
G
1
(
y
)
=
exp
(
−
e
−
y
)
size 12{G rSub { size 8{1} } \( y \) ="exp" \( - e rSup { size 8{ - y} } \) } {}
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. . . (Gumbel function) . . . |
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G
2
(
y
)
=
exp
(
−
y
1
/
k
)
,
y
>
0,
k
<
0
G
2
(
y
)
=
exp
(
−
y
1
/
k
)
,
y
>
0,
k
<
0
size 12{G rSub { size 8{2} } \( y \) ="exp" \( - y rSup { size 8{1/k} } \) ," "y>0," "k<0} {}
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. . . (Frechet function) . . . |
(2) |
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G
3
(
y
)
=
exp
[
−
(
−
y
)
1
/
k
]
,
y
<
0,
k
>
0
G
3
(
y
)
=
exp
[
−
(
−
y
)
1
/
k
]
,
y
<
0,
k
>
0
size 12{G rSub { size 8{3} } \( y \) ="exp" \[ - \( - y \) rSup { size 8{1/k} } \] ," "y<0," "k>0} {}
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. . . (Weibull function) . . . |
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and similar for the minimal value
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H
1
(
y
)
=
1
−
exp
(
−
e
−
y
)
H
1
(
y
)
=
1
−
exp
(
−
e
−
y
)
size 12{H rSub { size 8{1} } \( y \) =1 - "exp" \( - e rSup { size 8{ - y} } \) } {}
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. . . . . . . . . . |
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H
2
(
y
)
=
1
−
exp
[
−
(
−
y
)
1
/
k
]
,
y
<
0,
k
<
0
H
2
(
y
)
=
1
−
exp
[
−
(
−
y
)
1
/
k
]
,
y
<
0,
k
<
0
size 12{H rSub { size 8{2} } \( y \) =1 - "exp" \[ - \( - y \) rSup { size 8{1/k} } \] ," "y<0," "k<0} {}
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. . . . . . . . . . |
(3) |
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H
3
(
y
)
=
1
−
exp
(
−
y
1
/
k
)
,
y
>
0,
k
>
0
H
3
(
y
)
=
1
−
exp
(
−
y
1
/
k
)
,
y
>
0,
k
>
0
size 12{H rSub { size 8{3} } \( y \) =1 - "exp" \( - y rSup { size 8{1/k} } \) ," "y>0," "k>0} {}
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. . . . . . . . . . |
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These different forms of asymptotic functions are dependent to the shape of the trail of probability distribution
F(x)F(x) size 12{F \( x \) } {} (the right side for the maxima and the left side for the minima). In practice the sample conditions (the homogeneity, the independence and the dimension) influence on the precision of the approximation by the above asymptotic functions.
Asymptotic extreme distributions include three parameters:
k−k− size 12{k - {}} {}shape parameter,
um−um− size 12{u rSub { size 8{m} } - {}} {} local parameter and
bm−bm− size 12{b rSub { size 8{m} } - {}} {} scale parameter.
Often, instead of estimating the distribution of maxima (or minima), one executes a diverse problem: determine a design value, i. e. a value
xp(m)xp(m) size 12{x rSub { size 8{p} } rSup { size 8{ \( m \) } } } {} such as
PX(m)≤xp(m)=pPX(m)≤xp(m)=p size 12{P left lbrace X rSup { size 8{ \( m \) } } <= x rSub { size 8{p} } rSup { size 8{ \( m \) } } right rbrace =p} {}. (4)
Otherwise
xp(m)xp(m) size 12{x rSub { size 8{p} } rSup { size 8{ \( m \) } } } {} is the quantile
pp size 12{p} {} of extreme distribution. Besides, one converts the probability of the design value
xpxp size 12{x rSub { size 8{p} } } {} to return period
T=1/(1−p)T=1/(1−p) size 12{T=1/ \( 1 - p \) } {}, where
T−T− size 12{T - {}} {} the time to be expected that threshold
xpxp size 12{x rSub { size 8{p} } } {} is exceeded for the first time, or the average time between two above threshold events.
Using the asymptotic extreme distribution the design values can be easily expressed. For example, with Gumbel distribution, one has:
yp=G1−1(p)=−log(−logp)yp=G1−1(p)=−log(−logp) size 12{y rSub { size 8{p} } =G rSub { size 8{1} } rSup { size 8{ - 1} } \( p \) = - "log" \( - "log"p \) } {}. (5)
Consequently, design value estimate with return period
T=(1−p)−1T=(1−p)−1 size 12{T= \( 1 - p \) rSup { size 8{ - 1} } } {} years of the extreme variable
XX size 12{X} {} may be calculated knowing parameters
uu size 12{u} {} and
bb size 12{b} {}:
xp=byp+uxp=byp+u size 12{x rSub { size 8{p} } = ital "by" rSub { size 8{p} } +u} {}, (6)
where
ypyp size 12{y rSub { size 8{p} } } {} is also called “normalized design value”.
A question of principle in the application of extremes analysis theory is the precision of the approximation (2) or (3), i. e. the question on the rate of convergence of precise distribution of extremes
F(m)F(m) size 12{F rSup { size 8{ \( m \) } } } {} to the asymptotic one, in practical aspect, the precision of design value
xpxp size 12{x rSub { size 8{p} } } {} estimated by asymptotic distribution in comparison with it's real value (but often unknown)
xp(m)xp(m) size 12{x rSub { size 8{p} } rSup { size 8{ \( m \) } } } {}.
The methods of estimation of extreme distribution aim at settlement the question on the initial series, the relatively short length of initial series. Tibor Farago and Richard W. Kats [5] explain different methods to estimate the extreme parameters and determine design values and their estimate accuracy. Section 3.3 presents the results obtained by applying these methods to series of annually maximal and minimal levels of some tidal gauges along Vietnam coast.
Method of computing extreme values of tide
The tidal height above the mean level may be expressed by the following formula
zt=∑ifiHicosϕizt=∑ifiHicosϕi size 12{z rSub { size 8{t} } = Sum cSub { size 8{i} } {f rSub { size 8{i} } H rSub { size 8{i} } "cos"ϕ rSub { size 8{i} } } } {}, (7)
where
fi−fi− size 12{f rSub { size 8{i} } - {}} {} the reduce coefficients depended on longitude of the rising knot of lunar orbit;
Hi−Hi− size 12{H rSub { size 8{i} } - {}} {} the average amplitudes and
ϕi−ϕi− size 12{ϕ rSub { size 8{i} } - {}} {} the phase of tidal constituents.
Depending on the tidal feature, the height of tide may achieve the extremes when longitude of the rising knot of lunar orbit
N=0°N=0° size 12{N=0 rSup { size 8{ circ } } } {} (for diurnal tide) or
N=180°N=180° size 12{N="180" rSup { size 8{ circ } } } {} (for semidiurnal tide). In these conditions (
N=0°,180°N=0°,180° size 12{N=0 rSup { size 8{ circ } } , "180" rSup { size 8{ circ } } } {}) the phases of tidal constituents are expressed through astronomical parameters in table 2.
Table 2. Expressions of phases and reduce coefficients f of tidal constituents [6]
| Tidal constituent |
Phase,
ϕϕ size 12{ϕ} {} |
ff size 12{ size 9{f}} {} for
N=0°N=0° size 12{N=0 rSup { size 8{ circ } } } {} |
ff size 12{f} {}for
N=180°N=180° size 12{N="180" rSup { size 8{ circ } } } {} |
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M
2
M
2
size 12{M rSub { size 8{2} } } {}
|
2t
+
2h
−
2s
−
g
M
2
2t
+
2h
−
2s
−
g
M
2
size 12{2t+2h - 2s - g rSub { size 8{M rSub { size 6{2} } } } } {}
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0,963 |
1,038 |
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S
2
S
2
size 12{S rSub { size 8{2} } } {}
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2t
−
g
S
2
2t
−
g
S
2
size 12{2t - g rSub { size 8{S rSub { size 6{2} } } } } {}
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1,000 |
1,000 |
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N
2
N
2
|