Problems in the extreme value analysis

Research output: Contribution to journalArticleScientificpeer-review

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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

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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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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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T1 - Problems in the extreme value analysis

AU - Makkonen, Lasse

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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 - extreme value analysis

KW - probabilistic design

KW - structural safety

KW - return period

KW - plotting positions

KW - risk analysis

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EP - 419

JO - Structural Safety

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