Problems in the extreme value analysis

    Research output: Contribution to journalArticleScientificpeer-review

    54 Citations (Scopus)

    Abstract

    Engineering design for structural safety is largely based on the statistics of natural hazards. These statistics are utilized by applying the theory of extremes, which predicts a cumulative distribution function of the extreme events. The parameters of this distribution are found by a fit to the historical extremes and the probabilities of potentially disastrous events are then calculated. It is pointed out here that this procedure often results in underestimation of the risk. This is because wrong probability plotting positions are widely used and because theoretical extreme value distributions are asymptotic only, so that in many cases they bring misleading information to the analysis. The means to avoid these problems in the extreme value analysis are outlined.
    Original languageEnglish
    Pages (from-to)405-419
    Number of pages15
    JournalStructural Safety
    Volume30
    Issue number5
    DOIs
    Publication statusPublished - 2008
    MoE publication typeA1 Journal article-refereed

    Fingerprint

    Value engineering
    Statistics
    Distribution functions
    Hazards

    Keywords

    • extremes
    • extreme value analysis
    • probabilistic design
    • structural safety
    • return period
    • plotting positions
    • risk analysis

    Cite this

    Makkonen, Lasse. / Problems in the extreme value analysis. In: Structural Safety. 2008 ; Vol. 30, No. 5. pp. 405-419.
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    author = "Lasse Makkonen",
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    Problems in the extreme value analysis. / Makkonen, Lasse.

    In: Structural Safety, Vol. 30, No. 5, 2008, p. 405-419.

    Research output: Contribution to journalArticleScientificpeer-review

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    N2 - Engineering design for structural safety is largely based on the statistics of natural hazards. These statistics are utilized by applying the theory of extremes, which predicts a cumulative distribution function of the extreme events. The parameters of this distribution are found by a fit to the historical extremes and the probabilities of potentially disastrous events are then calculated. It is pointed out here that this procedure often results in underestimation of the risk. This is because wrong probability plotting positions are widely used and because theoretical extreme value distributions are asymptotic only, so that in many cases they bring misleading information to the analysis. The means to avoid these problems in the extreme value analysis are outlined.

    AB - Engineering design for structural safety is largely based on the statistics of natural hazards. These statistics are utilized by applying the theory of extremes, which predicts a cumulative distribution function of the extreme events. The parameters of this distribution are found by a fit to the historical extremes and the probabilities of potentially disastrous events are then calculated. It is pointed out here that this procedure often results in underestimation of the risk. This is because wrong probability plotting positions are widely used and because theoretical extreme value distributions are asymptotic only, so that in many cases they bring misleading information to the analysis. The means to avoid these problems in the extreme value analysis are outlined.

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    KW - return period

    KW - plotting positions

    KW - risk analysis

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    DO - 10.1016/j.strusafe.2006.12.001

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