1. Forecasting with Markovian max-stable fields in space and time: An application to wind gust speeds
- Author
-
Cotsakis, Ryan, Koch, Erwan, and Robert, Christian-Yann
- Subjects
Statistics - Methodology ,Statistics - Applications ,62P12 - Abstract
Hourly maxima of 3-second wind gust speeds are prominent indicators of the severity of wind storms, and accurately forecasting them is thus essential for populations, civil authorities and insurance companies. Space-time max-stable models appear as natural candidates for this, but those explored so far are not suited for forecasting and, more generally, the forecasting literature for max-stable fields is limited. To fill this gap, we consider a specific space-time max-stable model, more precisely a max-autoregressive model with advection, that is well-adapted to model and forecast atmospheric variables. We apply it, as well as our related forecasting strategy, to reanalysis 3-second wind gust data for France in 1999, and show good performance compared to a competitor model. On top of demonstrating the practical relevance of our model, we meticulously study its theoretical properties and show the consistency and asymptotic normality of the space-time pairwise likelihood estimator which is used to calibrate the model., Comment: 35 pages + 25 pages of supplementary material, 12 figures, 1 table
- Published
- 2024