ON HETEROSCEDASTICITY IN TIME HISTORY OF DAILY MAXIMUM WIND SPEED

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  • 日最大風速の時系列に含まれる分散不均一性に関する基礎的検討

Abstract

<p> In the weather risk managements, the extreme values of meteorological properties are statistically analyzed to plan the strategies against losses or damages. The asymmetric fluctuation and the heteroscedasticity are often encountered in their time histories, and the mixture of these natures complicates the statistics estimation. In order to accommodate this, a method employing the Box-Cox transform and the ARCH(1) model is proposed in this study, and is applied to the time histories of daily maximum wind speeds observed at the meteorological stations in 116 regions. The applicability of this method is investigated with a statistical test, and the heteroscedasticity in the time histories of daily maximum wind speeds is studied.</p>

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