The estimation of extreme quantiles of wind velocity using L-moments in the peaks-over-threshold approach

The paper evaluates the effectiveness of the method of L-moments for estima ting parameters of the Pareto distribution model of peaks over a sufficient ly high threshold, and compares its performance against a widely used metho d of de Haan (de Haan L. Extreme value statistics. In: Galambos J, Lechner J, Simin E, editor. Extreme value theory and applications, vol, 1. 1994. p. 93-122). Monte Carlo simulations and actual wind speed data collected at v arious stations in the United States have been utilized in this study. In t he de Haan method, the first two moments of peaks of log-transformed data a re used for the parameter estimation, whereas the L-moment method utilizes linear combinations of expectations of order statistics of peaks in the ori ginal data. Despite the procedural differences, the paper shows that the de Haan and two L-moments based estimates of the tail shape parameter are in fairly close agreement in simulated data as well as in the US wind speed da ta. Furthermore, higher order estimates of the shape parameter are obtained using the L-skewness of peaks data. Such estimates appear to provide a mor e stable upper bound, which can be useful in identifying meaningful values of design quantiles. (C) 2001 Elsevier Science Ltd. All rights reserved.