POT-ESTIMATION OF EXTREME SEA STATES AND THE BENEFIT OF USING

WIND DATA

Dan Rosbjerg*) and Jesper Knudsen**)

*) Technical University of Denmark

**) Danish Hydraulic Institute

ABSTRACT

The distribution function for the maximum.peak during T years of

the significant'Wave height is derived by means of a POT—method.
Accordingly, the T—year wave peak (i.e. the level which — on the
awerage — will be exceeded once per T years) and the sample va-
riance of the T—year estimate can be determined. Based on a period
with concurrent measurements of wave heights and wind speeds a
regression analysis can be applied which allows wave peaks to be
calculated during periods with only wind observations. Thus an up-
dated estimate of the T—year event as well as the variance of the
estimate can be developed, and the obtained variance reduction
used as a measure of the benefit of using wind data. An example is
included in order to illustrate the presented theory.

SEVERITY OF THE SEA STATE

A.common measure of the natural sea state is the current value of

the so-called significant wave height, HS, defined as the mean
Value of individual heights greater than the 67% quantile. For sea
States with e narrow-band spectrum HS is close to Hm = u%E§ where
mg denotes the integral of the spectral density function (the va-
riance). However, Hm , is also used as a measure of the severity
of the sea state indgpendently of the bandwidth of the spectrum.
Fig. 1 shows an example of the variation of Hm , where the values
of Hm have been calculated every 3 hours basea on continuous ob-
servations of the sea for a period of 20 minutes.

611

J. Tiago de Olivezlra (ed.), Statistical Extremes and Appli¢¢m'0P1-'1. 511~620.

© Crown COWW 984,
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612
1). ROSBJERG AND J. KNUDSEN

IT!

1.. _ IIBII
L

3 1 . u|inII|.I1|
2

0
.
“Y'?‘Hl"!""'iv'ia'iiiiH
Figure 1. Variation of Hm during 56 days. (Values calculated
every 3 hours.) 0

EXTREME VALUE DISTRIBUTION AND T-YEAR EVENT

For the statistical analysis of extreme events a peak-over-thres-

hold (POT) method can be applied. If an appropriate threshold is
introduced and the recorded wave heights below this level are de-
leted, the remaining data constitute a partial duration series.
This series is likely to represent independent storm events pro-
vided that the threshold is reasonably defined. Selecting the peak
value within each storm for further analysis, the POT-method at-
tempts to focus on the relevant statistical variable for extreme
value analysis, namely the maximum value within independent storm
events. During this process it is crucial to verify that the basic
requirements of the further analysis is fulfilled, i.e. that se-
lected peaks are lndependent and identically distributed,

Denote either the storm peak itself or some suitable transformation

by H‘ and the threshold level by h*, on the eendition that H1 is
greater than h*, the distribution function for H‘ is then intro-
duced as 5

P {Hg 5 h | H; > h*} = F(h) (1;

Further assume that the occurrence of wave peaks takes place accord-
ing to a Poisson process with a seasonally varying intensity. This
implies that the number of storms per year follows e Poisson di5tri'
bution with the parameter equal to the integral of the intensity
over a year. If this quantity is denoted by A, the expected number

_.-1
POT-ESTIMATION OF EXTREME SEA STATES 613

of storms in t years with wave peaks greater than an arbitrary le-

vel h(> h*) becomes

vh = A 1: [1 - F(h)] (2)
The T-year event, hT, is now defined as the level which, on the
average, will be exceeded once per T years. Since this situation
corresponds to vh = 1 for t = T, the T-year event is obtained by
solving Eq. (2) under these conditions leading to

%=F*(1~%) B)
By use of the above mentioned assumptions implying that the number
of storms with wave peaks greater than h in t years follows a
Poisson distribution with v as parameter, the distribution for the
maximnm.value of H; in t yegrs, Hg becomes
max,t
P {Hg < h} _ e “Vh _ e—A t [1-F(h)] (h)
max,t

Now denote by R the probability (the risk) that the level hL R

will be exceeded once or more during a time period of L years (the
lifetime). Accordingly, the left hand side of Eq. (M) equals 1-R
for t = L, and a relation between R, L and the corresponding value
of T can then be obtained by solving the equation for h and
equalizing the expression with Eq. (3). Hereby the follgwing rela-
tionship is obtained

R = 1 - e_L/T (5)
which is shown in Fig. 2. Note that risk values less than 10% cor-
respond to design return periods much greater than the length of
the assumed lifetime.
ILIT

0.5- ~* *-
. ‘ 3

U.‘ 1~ ' J I *

aa~ L L —eT e <

i \

‘ \
0-2f -‘T T '7 "' P

0.1 ' \ t
\ \ ‘

\ l I ;‘ i R
U -" "‘*"" -L ' -——-?->-
5 10 15 Z0 Z5 30 35 £0 %

Figure 2. Relation between R and L/T.

 614 D. ROSBJERG AND J. KNUDSEN

In case of exponentially distributed wave peak eX¢e@d&n¢@$ 1-6-

h-h*
F(h)=1-e °‘ (6)
where the parameter a is equal to the expected value of the ex-
ceedances above the threshold value h*, the expres sion for the
T-year event becomes particularly simple. Combining Eqs- (3) and
(6) results in

hT = h* + Q 1n AT (7)

which will be used in the next section in order to exemplify an

'
approximate '
method for calculating the stan dar d error of the T-year
estimate.

STANDARD ERROR OF T-YEAR ESTIMATE

Assume than n1 storm events are observed during a time period of

t1 years. Then the maximum likelihood estimates of the parameters
are
T11
a =-—1 2: (h.-11)
I111 11 =|= = h-11 =k (8)
. D1
l='t-1' (9)

One of the advantages of the POT—estimation is the possibility of

establishing confidence limits for the T-year estimate. Due to a
limited sample the estimated distribution parameters a, A are in-
accurate which in turn makes the estimate of hT as obtained by
Eq. (10) uncertain:

RT = h* + a ln A T = g(a, A; T) (10)

The sampling variance of hT can be computed approximately by

Var{hT}== (§§)2 Var{d} + (@§>2 var{i}

30, 31
I11 III

+ 2(§§) <g§) Cov{d, X} (11)

Ba BA
In II1

where the index m.denotes that the partial derivatives are to be

evaluated at the mean values of a and X. Inserting
p()T-ESTIMATION OF EXTREME sax sum-:s ens
a\ _ _ a
I11 m

and
v Bl‘ {§)-£‘i-
';,t1= v B-1'( 21- A
1- git; A “
Cov{<1,)(}=0 (13)
into Eq. (11) leads to

Va.r{h 1 =-g-2- '1+ (1 7(T)2]

T At, n J U“)
The standard error of hT is therefore given by
1 r r J

;T =% /1 + (lniT)2 (15)
A C9‘ 0-1

If the T-year estimated is normally distributed, 68% and.95% con-

fidence limits are accordingly determined as h i s and.h i 2s ,
- T T T T
respectively.

As a concluding remark to this section it should be stressed that

the POT-approach is not limited to the exponential distribution
assumption applied above. If another type of distribution, (e.g.
lognormal or gamma) is justified, a similar procedure can be ap-
plied leading to revised expressions for the standard error of the
T-year estimate.

BENEFIT OF USING WIND DATA

Unfortunately, wave measurements usually cover time periods much

shorter (m 1-2 years) than the long return period selected for de-
sign conditions. An inevitable consequence of this fact is that
the etenderd error of h becomes relatively large, and wide con-
fidence bands are there¥ore obtained.

In many cases, however, the existing data basis may be improved by

extending the measured series by use of hindcast techniques. For
hindcasts, a model is used with past meteorological conditions as
input to compute extreme wave conditions. Such a model may either
be a physically based wind-wave model or a statistically based re-
gression model obtained on the basis of simultaneous wind and.wave
measurements. In both cases a deterministic model is applied to
extend the length of the measured wave series. Since more informa-
tion is ine1uded,the uncertainty of hT is imediately expected to
be redueed_ However, it is negessary also to take into considera-
tion that the generated values besides the relevant information in-
dune some further uncertainty (noise) due to the imperfection of the
model.
 "*1

616 D. ROSBJERG AND J. KNUDSEN

The following theory is based on the &BBumPti°n that 5imu1tane°u$

wind.and.wave measurements are available, and Fhax lt 15 P°sS1b1e
to select some characteristic wind.speeds within each storm event
to be correlated with the wave peak.

In this case a statistical regression approach is 8PP1i¢3b1e- When

some suitable transformation of the wind sPeed 15 denoted by H, the
general linear regression equation of u on h reads
S 1
h ._
h(i) = -51+ rgi (u(i) " 111) (16)
H1
The index 1 refers to a time period of length t1 in which n1 con-
current observations of h and u are available. sh and sul denote
the standard deviations of the wave and.wind obseivations, respec-
tively, and r denotes the obtained correlation coefficient whose
theoretical value is p.

The length of the period.with only wind observations is denoted t2,

and it is assumed that the use of the regression equation_(16) re-
sults in n2 generated values of h greater than h*. The wave peak
data now comprise n1 primary observations and n2 secondary calcu-
lated events, and the question therefore arises to what extent the
secondary data will improve the extreme wave peak estimate.

The estimate of the T-year event based only on observed peak values
is given by Eq. (10). An updated estimate including the secondary
data is obtained as

hT = h* + a ln X T £17)

in which a and A are determined as

a = hl - h
1+2 * (18)
and

~ Altl + Aztz
)(=-—------ (19)
‘(Z1 ‘|' t2

where
n1+n2
“H 1 Z '"- n2 Shl
1+2 =-———
n1+n2 i=1 h(i = h1 +-___._
n1+n2 -'
E--r (U2 - "-
ul)
H1
(20)
POT-ESTIMATION OF EXTREME SEA STATES 617
\

The benefit of using wind data is now evaluated by comparing the

Variance of this estimate by the variance of the estimate based
cnly on the primary observations as given by Eq. (1h),

The approximate method previously applied to determine the sampling

Vaflance var{hT}3 °f- Eq- (11), is also used to develop Var{h }. For
thls reason Varia} and V&r(l) must be worked out. By use of tge ex-
ponential assumption together with the results of Matalas and Jacobs
(196h) it lS found from Eqs. (18) and (20) thet

-.. 2' t2 2
Var{u}-=-9'-- [1—--——— (2--ll?-
* t1 - t1+t2 \p Atl-3 '(21)
From.Eq. (19) together with the Poisson assumption follows that
Q0

A
Var{A) - t1+t2 _ (22) _

An approximate expression for the variance of the updated T-year

estimate is then

v ar {Q T } =--——
A “Zt1 { --—-—
tl + (1.n AT)
t1+t2
I0
--L t2 ( ° 2 -----
--—————
t1+t2 A 1_p2
tl-3 )1}
J
r-—-—1

B (23)
As a control p = 1 is inserted in Eq. (23) resulting in

i _ Q2
Var{hT} - ;YrI;;;7-[1 + (ln A T)2] (2u)

which exactly corresponds to the case with primary observation du-

ring the whole period t1 + t2. For p < 1 Eq. (23) leads to a larger
value than Eq. (2h) reflecting the fact that the information value
of secondary data is smaller than the value of the real observations.

By comparing Eqs. (23) and~(1h) it is found that a critical value

0 = p exists so that Var{h } < Var{hT} for p > pc and the opposite
for pc< p . The critical vaiue is
c
Xt1'3
1 _
( 2
O2: __¢l-P_2)_1 (25)
C
lt1“2

As expected, it is seen that pc is decreasing for increasing values

of t1 and A, while p is increasing for increasing values of T. In
applications the valfie of r obtained by the regression analysis of
the concurrent wind and wave data should be compared with p , and
only in eeee of r > pc shouldthe secondary data be generated and
618 D. ROSBJERG AND J. KNUDSEN

introduced in the analysis. The relative variance reduction is

found to be

»~ ~ 2 2 _. __1.'E2
Var{hT} — Var{hT} '02 1 + (MAT) (O M11-3)
8 ='"-“-"""-r---- =
Var{hT} t1 + t2 1 + (ln A T)2
(26)
In terms of e the relation between the standard errors becomes

QT = ;T¢1 - s (27)

I LLUSTRATIVE EXAMPLE

In the following example the data comprise concurrent wind and.wave

measurements for a certain site in the North Sea during a period
of 9 months. In addition, hi years of wind measurements are avail-
able at another site located some distance from the wave field.
Because the example is included only for illustrative purposes, no
attempt is made to correct the bias due to either the use of two
different observation locations or to the fact that the primary ob-
servation period is less than one year.

The wave data to be analysed were 3-hour values of Hmo during the
above mentioned period. Using a threshold of 2.8 m.combined with
some independence criteria implied that 3h wave peaks were selected
for further analysis. On the basis of some simple tests it was ac—
cepted that the exceedances of the squared peak values above the
value h* = (2.8 m)2 could be considered exponentially distributed.
The results of a graphical test is shown in Fig. 3.
3.60 .
III
3'20 rn: Rank oi observation i
2 so from above
' n: Number of observations

III,7‘ IIII
... -IIIIII
_I_.IIIII
-IJIIIII
,7/IIIIII
0 0EIIIIIB s~=»~=-
1020 3o1.o50so7om*
M 1 ~=-
Figure 3. Graphical test of exponential distribution of exceedan¢e5
of squared wave peaks above the threshold value.
POT-ESTIMATION OF EXTREME SEA STATES 619
The application of Eqs. (10) and (1h) for these data showed a 50-
year wave peak estimate of 10.h5 m with a corresponding standard
error of 0.85 m.

The wind observations to be considered together with the wave ob-

servations comprised 10 minutes average wind speeds with 3-hourly
time intervals. A preliminary multiple regression analysis indicated
that it was sufficient to select the maximum wind peak during the
storm as the representative wind speed. A linear regression of the
fourth power of this wind speed on the squared wave peak was then
performed, See Fig. h. The correlation coefficient was determined
to r = 0.82.

When the estimation of the 50-year wave peak was assumed as the
purpose of the analysis, p was by means of Eq. (25) found to be
0.12, i.e. r > p . Generation of wave peak values by means of Eq.
(16) resulted incfurther T3 wave peaks to be taken into account.
By us of Eqs. (17) and (23) the revised estimate of the 50-year
wave peak was then determined t9 be 9.65 m with a standard error
of 0.5 m. A comparison of this standard error with the original one
showedthat the use of available wind data in this case reduced the
sampling variance by 66%. Fig. 5 summarizes the benefit of using
wind data in the present calculation example.

Squared wove height

m1 h ,
6&0 T \

56.0
1 o i 1 \
1.8.0 0

L0.0 — .1
)1 h = 1.09 -10"'u * 0.688 ,
22.0 A 8
E i r 3 Q .

2L.0
.. 8 “O o o a -
. O Q °
1601 “ D , p
‘ ° \ ‘F Fourth power of
8.0 i T 4 representative
on
r W
\ l . i .
u wind speed
0 105 2-105 3-10‘ 1.-105 lmlsl‘

Figure h. Linear regression of transformed wind peak on trans-

formed wave peak.
 620 D. ROSBJERG AND J. KNUDSEN

50-year wave height

I 8 F5 13 m

no _ G‘ C" |--
no_ 10.1.5

Figure 5. Distribution of the 50-year wave peak estimate showing

‘
68% confidence intervals a) using ' d data ,
supplementary Wlfl
b) without use of wind data.

CONCLUS ION

The use o f POT—estimation of extreme sea states is found to have

some advantages The method is flexible with only few really fun-
d ame ntal assumptions , and it allows calculation of the reliabili-
ty of the T-year wave estimate by means of confidence intervals.
Furthermore, the benefit of using wind data to extend the o‘b-
serve d wave peak series by synthetic events can be explicitly
evaluated. The worked example illustrates that this benefit in
some cases can be rather substantial.

REFERENCE

Matalas 3 N.C. and Jacobs, B. 196h, "A correlation procedure for

augmenting hydrologic data". U.S. Geological Survey, Professional
Paper h3h—E.