Extreme Value Analysis of Multivariate High-Frequency Wind Speed Data

  • Christina SteinkohlEmail author
  • Richard A. Davis
  • Claudia Klüppelberg


In this article we analyze the extremal behavior of wind speed with a measurement frequency of 8 Hz, measured on three meteorological masts in Denmark. In the first part of this article we set up a conditional model for the time series consisting of threshold exceedances from maxima per second for two consecutive days. The model directly captures the nonstationary nature of wind speed during the day. Conditional on previous wind speed values with recorded exceedance, we assume a Markov-like structure for exceedances, where the conditional distribution follows the generalized Pareto distribution. In addition, we analyze the dependence structure in large wind speed values between different masts by using bivariate extreme value models. The initial motivation for this research was in the context of renewable energy. Specifically, the extremal dynamics of wind speed at small time scales plays a critical role for designing and locating turbines on wind farms.


Wind speed generalized Pareto distribution bivariate extreme value theory 

AMS Subject Classifications

primary: 62G32 secondary: 62M10 60G70 62-07 regression, etc. analysis 


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Copyright information

© Grace Scientific Publishing 2013

Authors and Affiliations

  • Christina Steinkohl
    • 1
    Email author
  • Richard A. Davis
    • 2
  • Claudia Klüppelberg
    • 1
  1. 1.Center of Mathematical SciencesTechnische Universität MünchenGarchingGermany
  2. 2.Department of StatisticsColumbia UniversityNew YorkUSA

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