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ABSTRACT
A statistically-rational method of extreme wave data
analysis is presented. A combination of the Fisher-Tippett
type I and the four Weibull distributions is proposed as the
candidates of distribution functions.
The least square
method is used for data fitting. The best plotting position formula for each function is determined by the Monte
Carlo method with 10,000 simulations per sample size.
Confidence intervals of estimated extreme wave heights
for given return periods are evaluated by simulations and
expressed in the form of empirical formulas,
for both the
cases when the true distribution is known and unknown.
An
example of extreme wave data analysis is given.
1.
INTRODUCTION
Design waves must be decided upon by the responsible engineer in charge of a maritime project.
He looks for various data source on storm waves and asks statisticians to
make extreme wave analysis.
Based on the statistical estimate of wave height for a certain return period, he makes a
final decision. The statistical procedure for this purpose
is rather confused at present, however, with several different methods being employed in various occasions. Some
procedure is not recommendable from the statistical point of
view, and some other is quite complicated to use. There is
a need for a clear and sound statistical method for extreme
wave data analysis.
Another problem in extreme data analysis is the lack of
information on the statistical uncertainty or confidence
interval of estimated extreme value for a given return
period (hereinafter called "return value" for the sake of
simplicity).
For the Fisher-Tippett type I distribution
(abbreviated as FT-I), a formula is given in Gumbel's book
(1958, Sec. 6.2.3). Lawless (1974) also gave integral form* Professor, Yokohama National University, Department of
Civil Engineering, 156 Tokiwadai, Hodogaya-ku, Yokohama,
Japan 240.
899
900
ulas for the FT-I distribution for the case when the parameters are estimated by the maximum likelihood method. Both
formulas are applicable for the annual maximum series data
but inapplicable for the partial-duration series data.
For
the Weibull distribution, there is practically no formula
available for the confidence interval of return values.
The
problem of confidence interval when the true distribution is
unknown has only been mentioned by Petruaskas and Aagaard
(1970), but they did not give any formula for its estimation.
The present paper tries to give a clear view of the
practical procedure of extreme wave data analysis, which is
statistically sound and easily applicable. The confidence
interval of return values will also be estimated for several
distribution functions used in the analysis.
Detailed descriptions can be found in Goda (1988) in Japanese.
2.
901
902
COASTAL ENGINEERING1988
(1)
Weibull distribution:
F(x) = 1 - exp{-[(x-B)/A]k)
: k = 0. 75,
1. 0,
(2)
1. 4, and 2. 0
(3)
(4)
plotting position
formula should be
so selected
to
903
'.50r
Histogram of F|
WEIBULL DISTRIBUTION
,
Plot. Formula
10
7r
N =10
FT-I TYPE(A = l,B"0
C k = 1.0 3
(A =1.0 , B = 5.0)
Weibull
& New PSA
l PBA
'
5
". 4
'
>
3
2
I
,o-"
0.5
Nonexceedance Prob.,Fi
Fig.
1.0
~0
ll
I I
,
10
20
50
Sample Size , N
50
Frequency, n
Distribution of the
largest data in a
sample from FT-I.
Fig. 2
Weibull
Gringorten
Barnett
New
1 1 1 IIII
MM |illl|
Plotting Formula
o
+
*
13
(A=l,B=5)
I
100
12
K =
NT=
I I
x
10.7 years
53
/
y
I.<u io
X
a>
Weibull
k=0.75
V^
.S?
1.4
2.0
-5
10
20
50
100
200
500
Sample Size , N
Fig. 3
i I
I 1 Ml
10
20
i i iiinl
50
100
i
200
Fig. 4
Example of return
wave height estimation
with various distribution functions.
904
F = 1 -
(m - 0.44)/(NT + 0.12)
: m = 1, 2,
(5)
.
. , N
Fm = 1 - (m - a ) / (NT + P )
(6)
where
a
= 0.30 + 0. 18/k,
J3
= 0.21 + 0.32/k
(7)
= 0.20 + 0.27//",
= 0.20 + 0. 23/i/Tt
(8)
This
905
For the log-normal distribution, the appropriate plotting position formula is that by Blom (1958) in the form of
Eq. 6 with a = 3/8 and /3 =1/4. Use of the Weibull formula
yields positive bias as demonstrated in a simulation study
by Earle and Baer (1982).
The amount of bias reported by
them has been confirmed in the author's simulation (Goda,
1988); use of the Blom formula for the same condition has
yielded no bias.
4.
Weibull:
(9)
1/k
(10)
(11)
(12)
where
yR = - ln{-ln[l - 1/UR)]}
y = [ln(X R)]
1/k
: FT-I
(13)
: Weibull
COASTAL ENGINEERING1988
906
Table 1.
FT- I
Xm
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
8.36
7.02
6.94
6. 85
6.74
6.20
5.92
S.68
5.57
5.42
5.34
5. 10
5. 09
4. 95
4. 81
4.77
4. 63
4. 61
4.41
4. 34
4. 11
X =5.
565
-1.101
F
0.9895
0. 9706
0. 9518
0. 9330
0. 9142
0.8953
0.8765
0. 8577
0. 8389
0. 8200
0.8012
0. 7824
0.7636
0.7447
0.7259
0.7071
0.6883
0. 6694
0.6506
0.6318
0. 6130
4. 55
3.51
3. 01
2. 67
2. 41
2. 20
2.03
1. 87
1.74
1. 62
1.51
1.41
1.31
1.22
1. 14
1. 06
0. 99
0. 91
0.84
0.78
0.71
A = 1 091
B - 3 617
r = 0 9842
0.9909
0.9722
0.9535
0.9348
0.9161
0.8974
0. 8787
0.8599
0. 8412
0.8225
0.8038
0.7851
0.7664
0.7477
0.7290
0.7103
0.6916
0.6729
0.6542
0.6355
0. 6168
y.
7. 86
5.48
4. 46
3. 82
3. 35
3. 00
2. 71
2. 46
2. 26
2. 08
1. 92
1.78
1. 65
1. 53
1. 43
1. 33
1. 24
1. 16
1. 08
1. 01
0. 95
A = 0 614
B = 4 029
r = 0 9621
F
0.9901
0. 9714
0.9527
0.9339
0.9152
0.8965
0.8778
0. 8591
0.8404
0.8216
0.8029
0.7842
0.7655
0.7468
0.7281
0.7093
0. 6906
0.6719
0. 6532
0.6345
0.6158
y
4. 61
3. 55
3. 05
2. 72
2. 47
2.27
2. 10
1. 96
1. 84
1. 72
1. 62
1. 53
1.45
1. 37
1. 30
1.24
1. 17
1. 11
1. 06
1. 01
0. 96
A = 1 147
B - 3 374
r = 0 9790
Weibull(1. 4)
F,
y
Weibull(2. 0)
F
y
0.9893
0.8706
0.9518
0.9331
0.9144
0.8957
0.8769
0.8582
0.8395
0.8207
0.8020
0.7833
0.7646
0.7458
0.7271
0.7084
0.6896
0.6709
0.6522
0.6335
0.6147
0.9886
0.9699
0. 9511
0. 9324
0.9136
0.8945
0.8762
0.8574
0.8387
0.8199
0.8012
0. 7825
0.7637
0. 7450
0.7262
0.7075
0.6888
0.8700
0.6513
0.6325
0. 6138
2.
2.
2.
2.
1.
1.
1.
1.
1.
1.
1.
1.
1.
1.
1.
1.
1.
1.
1.
1.
0.
95
46
21
04
90
79
70
61
54
47
41
35
30
25
21
16
12
08
04
00
97
A = 2 084
B = 2 334
r = 0 9878
2. 12
1. 87
1. 74
1. 64
1. 57
1. 50
1.45
1.40
1. 35
1. 31
1.27
1. 24
1.20
1. 17
1. 14
1. 11
1.08
1. 05
1. 03
1. 00
0. 98
A = 3 560
B - 0 786
r = 0 9910
907
I
FT-I Distribution ( A = 1 , V = 1 )
/ -
//"
/ / A/
Censored Data
("=0.25)
///
/
R
Fig. 5
/N
10
20
100
"R" x
_l
l_
_egend
Sim Em p.
A
O
G
10
Reduced Voriate , yR
%
60
Fig. 6
40
20
0
Jll
PL
n_
R- Ri FM
m
m
in
rO
co
d
c\)
m
--"--
CM
I
i
Example of standard
deviation of return
values in censored
samples from FT-I.
2:
80
30
~ 60
Rg^l N = I0
40
cr
2 20
m
in
N
m
cot
r-i
O
m
c\J
FB h
in
ll
"5
20-
t 15
rr
60
Parent : WE I BULL
20
WEIBULL
Ck = l.4]
/V _
/ f,
I i-
1? I_
A/7 I
Legend
N Sim. Emp.
10 A
20 o
40 100
200
Li ri
///// -
m w
J%f
10
Ck-I.oa
40
Uncensored Data
t^m N--IOO
LL
Ck=2.03
4
/V
wiJj JPLBN
co
do-'
CM
JL
j^*
-*T
0
Relative frequencies
of best-fitted distributions for random
samples.
Reduced Variate, y
Fig. 7
Fig. 8
Example of standard
error of return values
when the true distribution is unknown.
908
COASTAL ENGINEERING1988
ln-v )2]1/2/vr
(14)
where
a = a! exp[a2 N-1The coefficients
values listed in
Fig. 6 represent
deviations of the
Table 2.
+ K (-lnv )1/2 ]
(15)
Distribution
FT-1
Weibull
Weibull
Weibull
Weibull
(k=0.75)
(k=1.0>
(k=1.4)
(k=2.0)
at
0.
1.
1.
2.
2.
64
65
92
05
24
a2
9.0
11.4
11.4
11.4
11.4
0.
-0.
0.
0.
1.
93
63
00
69
34
0. 0
0.0
0.3
0.4
1. 33
1. 15
0.90
0. 72
0. 54
0. 5
909
each sample,
a group of nine candidate distributions were
applied and the best fitting one was selected by the criterion of the largest correlation coefficient between X(m>
and y(mj.
The ordinates in Fig. 7 shows the relative
frequency of the best-fitted function, while the abscissa
stands for the distribution functions: k =0.75 to 2.0
denote the Weibull distributions and "L-N" stands for the
log-normal distribution.
The set of Weibull distributions
is same as that used by Petruaskas and Aagaard (1970).
It is clear in Fig.
7 that a small sample has only a
small chance of selecting the parent distribution as the
best-fitting one. Even at the sample size N = 100,
samples
from the FT-I distribution can be mistaken as those belonging to the log-normal distribution.
Such competitive power
of the log-normal against the FT-I and the Weibull distributions is one reason for the rejection of the former from
the candidates of the distributions functions in the present
proposal of extreme data analysis.
The low capability of a statistical data analysis in
recognizing the true distribution function is due to the
statistical variability of random samples. The standard
deviation of an uncensored sample with the size 40 from the
Weibull distribution (k = 1.0), for example, can be less
than 0.5 times or more than 1.7 times the population value.
A sample with a small deviation tends to be better fitted by
the distribution with narrower spreading, and vice versa.
Use of the statistical method other than the least square
method may slightly enhance the capability of recognizing
the true distribution, but the amount of enhancement will be
small.
7.
910
Table 3.
Return
Period
1
FT--I
"" >
2.
5.
10.
20.
SO.
100.
0
0
0
0
0
0
a (H)
1 Bl )
< m )
6.2
0. 4
0. 7
7. 3
8. 1
8. 9
10. 0
10.8
Z = (AC
10
0.9
1. 2
1. 6
1. 9
(ml
5.9
6.8
7.6
8.3
9.4
10. 1
{>)
( m )
0.3
0.5
0.7
1.0
1.4
1.6
6.0
7.1
7.9
8. 8
9.9
10.7
(y + a lnv )"
: y
y
( m )
( m )
0.4
0.6
0.8
1.1
1.5
1.8
6.2
7.3
8. 1
8.9
10.0
10.6
>
a lni>
!}
0.5
0.7
0. 9
1.2
1.5
1.9
( m )
< m )
6.4
7.6
8.4
9.3
10.4
11.2
0.5
0.8
1.0
1.3
1.7
2. 1
(16)
a lnv
The coefficients Ac and a and the exponent p are assgined the following values depending on the distribution
functions and the censoring parameter:
FT-1
= 1.0;
Ac =10.046 - 0. 40[logio (60/N)]3
|0.046 exp{-2. 5[log10 (N/60)]2}
a =0.9,
p = 1. 0
N<60
Ng 60
(17)
= 0. 5 & 0.25 ;
Ac =0.01 - 0.044[log10(N/300)]4
a = 0. 9,
p = 1. 0
Weibull
Ac
a
1. 0,
Weibull
p = 2. 1
(k = 1.4)
J (20)
=(-0. 40 N_0- 8
1-0. 10 N-0- 4
=0.5,
p = 2. 7
Weibull
(k = 1. 0)
(19)
=1-0.05
0. 028 N~- 25
: v = 1. 0
(-0.0C022 - 0. 0006 [ log! o (N/50) ]2:i> = 0.5 & 0.25 I
Ac
(k = 0.75)
=|0.030
exp{-0. 6[log10 (N/4)]2} :v= 1.0
= |0.
to..025 exp{-0.7[log10 (N/15)]2}:v = 0. 5 & 0. 25
= 2.7,
p = 1
Weibull
At
(18)
(k = 2.0)
: v = 1.0
: v = 0. 5 & 0. 25
(21)
= 1-0.
-0. 50 N_0- 7
1-0. 64 N_0- 6
= 0. 35,
p = 3. 4
: v = 1.0
: v = 0.5 & 0. 25
1(22)
(23)
911
above formula may have been excessive, being judged from the
fact that the Weibull distribution with k = 2.0 predicts the
largest return heights after bias correction.
This is due
to the assumption of the equal probability of the five distribution employed. A responsible engineer may adjust the
amount of bias correction in his selection of design waves.
8.
(24)
[log10 (N/Nc)]2
(25)
Distribution
FT-1
1 0
0 s,
0. 25
bi
b2
0. 24
0. 46
0. 36
80
50
1. 6
1. 6
0. 9
0. 14
0. 57
20
20
1. 2
1.2
2. 7
2.7
Nc
0. 9
Weibull
(k=0.7S)
1 0
0 s.
0.25
0. 41
0. 18
0. 22
Weibull
<k=1.0)
1 0
0 5,
0.25
0. 55
0. 38
0. 15
0. 17
15
20
1.7
1. 7
1.0
1. 0
Weibull
(k=1.4)
1 0
0 5,
0. 25
0. 37
0. 46
0. 08
0. 09
1000
20
2. 3
2. 3
0. 5
0. 5
Weibull
<k=2.0)
1 0
0 5,
0. 25
0. 30
0. 56
0. 36
0.20
80
100
3. 2
3. 2
0. 35
0. 35
PROBLEM OF MULTI-POPULATIONS
Any statistical data analysis must satisfy the condition of homogenuity: i.e., all the data under analysis
should belong to the same population.
Extreme waves are
generated by hurricanes, monsoons, frontal systems,
and
others.
Strictly speaking, these meteorological disturb-
912
COASTAL ENGINEERING1988
h exp{-a,d[l -Fj(x)]}
3 ~ 1
(26)
CONCLUDING REMARKS
913