An exponential–gamma mixture model for extreme Santa Ana winds

Bopp, Gregory P.; Shaby, Benjamin A.

doi:10.1002/env.2476

An exponential–gamma mixture model for extreme Santa Ana winds

Journal Article · Tue Sep 12 00:00:00 EDT 2017 · EnvironMetrics (London)

DOI:https://doi.org/10.1002/env.2476· OSTI ID:1389883

^[1]; Shaby, Benjamin A. ^[1]

Department of Statistics Pennsylvania State University 326 Thomas Building, University Park PA 16801 U.S.A.

We analyze the behavior of extreme winds occurring in Southern California during the Santa Ana wind season using a latent mixture model. This mixture representation is formulated as a hierarchical Bayesian model and fit using Markov chain Monte Carlo. The two‐stage model results in generalized Pareto margins for exceedances and generates temporal dependence through a latent Markov process. This construction induces asymptotic independence in the response, while allowing for dependence at extreme, but subasymptotic, levels. We compare this model with a frequentist analogue where inference is performed via maximum pairwise likelihood. We use interval censoring to account for data quantization and estimate the extremal index and probabilities of multiday occurrences of extreme Santa Ana winds over a range of high thresholds.

View Accepted Manuscript (Publisher)

Sponsoring Organization:: USDOE

Grant/Contract Number:: AC02-05CH11231

OSTI ID:: 1389883

Journal Information:: EnvironMetrics (London), Journal Name: EnvironMetrics (London) Journal Issue: 8 Vol. 28; ISSN 1180-4009

Publisher:: Wiley Blackwell (John Wiley & Sons)Copyright Statement

Country of Publication:: United Kingdom

Language:: English

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