Forecast verification for extreme value distributions with an application to probabilistic peak wind prediction

Statistics – Applications

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

Predictions of the uncertainty associated with extreme events are a vital component of any prediction system for such events. Consequently, the prediction system ought to be probabilistic in nature, with the predictions taking the form of probability distributions. This paper concerns probabilistic prediction systems where the data is assumed to follow either a generalized extreme value distribution (GEV) or a generalized Pareto distribution (GPD). In this setting, the properties of proper scoring rules which facilitate the assessment of the prediction uncertainty are investigated and closed-from expressions for the continuous ranked probability score (CRPS) are provided. In an application to peak wind prediction, the predictive performance of a GEV model under maximum likelihood estimation, optimum score estimation with the CRPS, and a Bayesian framework are compared. The Bayesian inference yields the highest overall prediction skill and is shown to be a valuable tool for covariate selection, while the predictions obtained under optimum CRPS estimation are the sharpest and give the best performance for high thresholds and quantiles.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Forecast verification for extreme value distributions with an application to probabilistic peak wind prediction does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Forecast verification for extreme value distributions with an application to probabilistic peak wind prediction, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Forecast verification for extreme value distributions with an application to probabilistic peak wind prediction will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-32792

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.