A spliced Gamma-Generalized Pareto model for short-term extreme wind speed probabilistic forecasting

Castro-Camilo, D. , Huser, R. and Rue, H. (2019) A spliced Gamma-Generalized Pareto model for short-term extreme wind speed probabilistic forecasting. Journal of Agricultural, Biological and Environmental Statistics, 24(3), pp. 517-534. (doi:10.1007/s13253-019-00369-z)

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Abstract

Renewable sources of energy such as wind power have become a sustainable alternative to fossil fuel-based energy. However, the uncertainty and fluctuation of the wind speed derived from its intermittent nature bring a great threat to the wind power production stability, and to the wind turbines themselves. Lately, much work has been done on developing models to forecast average wind speed values, yet surprisingly little has focused on proposing models to accurately forecast extreme wind speeds, which can damage the turbines. In this work, we develop a flexible spliced Gamma-Generalized Pareto model to forecast extreme and non-extreme wind speeds simultaneously. Our model belongs to the class of latent Gaussian models, for which inference is conveniently performed based on the integrated nested Laplace approximation method. Considering a flexible additive regression structure, we propose two models for the latent linear predictor to capture the spatio-temporal dynamics of wind speeds. Our models are fast to fit and can describe both the bulk and the tail of the wind speed distribution while producing short-term extreme and non-extreme wind speed probabilistic forecasts. Supplementary materials accompanying this paper appear online.

Item Type:Articles
Additional Information:This publication is based upon work supported by KAUST Office of Sponsored Research (OSR) under Award No. OSR-CRG2017-3434.
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Castro Camilo, Dr Daniela
Authors: Castro-Camilo, D., Huser, R., and Rue, H.
College/School:College of Science and Engineering > School of Mathematics and Statistics > Statistics
Journal Name:Journal of Agricultural, Biological and Environmental Statistics
Publisher:Springer
ISSN:1085-7117
ISSN (Online):1537-2693
Published Online:23 July 2019
Copyright Holders:Copyright © 2019 International Biometric Society
First Published:First published in Journal of Agricultural, Biological and Environmental Statistics 24(3): 517-534
Publisher Policy:Reproduced in accordance with the publisher copyright policy

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