Applied Ocean Research 18 (1996) 303-317

0 1997 Elsevier Science Limited

At1 rights resewed. Printed in Cheat Britain
PII:S0141-1187(97)00007-t 0141-I 18z9fY$15.W
ELSEVIER

Extreme value analysis in a m~ltiv~riate offshore

environment
I. D. Morton* & J. Bowers
Management and Organization Department, University of Stirling, Stirling FK9 4U, UK

(Received 18 November 1996; accepted 14 February 1997)

Floating offshore systems are exposed to a multivariate environment with wind,

waves and current all making a significant contribution to the mooring forces. The
design of such systems requires an appreciation of the extreme conditions but the
concept of the return period value has to be extended to reflect multiple environmental
variables. This study examines the practicalities of employing a multivariate point
process model in extreme value analyses, using a moored semi-submersible and its
responses to the wind and waves as an example. The output from this illustrative
bivariate analysis includes both estimates of the 50-year mooring force and also return
period contours which indicate the likely combinations of wind and wave which might
give rise to the SO-year condition. 0 1997 Elsevier Science Limited

Key words: extreme, return period, multivariate, point process, offshore environment,
mooring force, semi-submersible.

factors’. One method of analysing the multivariate extreme

environment is offered by the structure variable approach:
The offshore environment is multivariate with waves, wind the statistics of a key structure variable, such as a mooring
and currents al1 contributing to the forces experienced by force, are used to estimate the 50-year return value directly.
offshore systems. When the system’s response is dominated The structure variable approach is attractive since it reduces
by the waves it may be sufficient to employ the 50-year the multidimensional environment to a univariate time series
wave as a design criterion and then simply assume that of forces, thus avoiding the complexities of statistically
the wind and current have either perfect dependence or modelling the multivariate extremes. This approach has been
~nde~ndence with the waves. However, floating systems adopted in a number of studies4’” and has been demonstrate
have more complex responses”2 than this, with a large to be capable of incorporating a wide range of variables,
dependence on both waves and wind, and it can be neces- However, the structure variable approach suffers from several
sary to consider the subtleties of the joint distributions of disadvantages. It fails to make full use of the environmental
the environment: typically the waves lag the wind, hence information by dismissing much of the data, and by reducing
the 50-year return wind and 50-year return wave are not the problem to a u~v~a~ time series of forces. Also, while
experienced at the same time. Therefore, any simple analysis the approach delivers estimates of the SO-year return forces, it
assuming a perfect correlation between the wind and waves fails to provide a rigorous insight into the conditions giving
is likely to overestimate the forces experienced. rise to those forces; ideally the design criteria should indicate
The Department of Energy” guidelines do not provide both the extreme force and also the likely wind and waves
details of how to determine the appropriate extreme con- which might be associated with such a force.
ditions in a multivariate environment. The guidelines just An alternative methodology for a multivariate extreme
state that the designer of an offshore installation should value analysis, has been developed in the course of a
ensure that the installation can withstand any ‘foreseeable number of studies of environmental phenomena. This
combination of forces arising from. . . the environmental meth~olo~y involves the cons~ction of statistical models
which describe the inter-relationships of the extreme off-
*Current address: Department of Civil and Offshore Engineering, shore environment: a point process model of extreme events
Heriot Watt University. Edinburgh, EH 14 4AS. is employed together with a distribution describing the joint
303
304 I. D. Morton. J. Bowers

dependence of environmental variables. The object is to with a multivariate environment is now encountered. How
produce a joint probability density function (pdf) describing can the maximum be defined? In the present study some
the joint extreme behaviour. This pdf may then be used to alternative definitions of the ‘maxima criterion’ are consid-
estimate the 50-year return conditions and the associated ered and their effects on the joint pdf and the return values
forces. The methodology is still evolving; in particular, defi- are examined.
nitive methods for multivariate models incorporating direc- The result of the declustering operation is a set of inde-
tional variables have yet to emerge.6 The present study pendent events, each with a complete environmental record,
examines a particular case: a moored semi-submersible and e.g. a simultaneous mean mooring force, mean wind speed
its response to wind speeds and wave heights, without any and significant wave height. The marginal variables are then
consideration of their directions. The study uses environ- considered separately, determining the extreme marginal
mental data for 1990-1994 from the Shell UK Exploration distributions which are appropriate. For each variable, a
and Production North Cormorant Platform in the northern threshold is identified which, when combined with the
North Sea. This period included some exceptionally severe cluster interval, is sufficient to distinguish the independent
weather and may not be regarded as typical, but the data are extremes. A generalised Pareto distribution is fitted to the
valuable in providing a basis for examining the practicalities excesses of these independent extremes.
of the multivariate point process model. The effects of Having established the separate, marginal extreme distri-
employing different definitions of ‘extreme’ are examined, butions, the dependence structure between the variables is
the role of the output is considered and the sensitivity of the then examined in detail. This process, which is shown in box
output to the various stages of the analysis is explored. C of Fig. 1, involves a transformation of the individual
variables to unit Frechet space. It then requires a further
transformation which combines the separate variables into
2 AN OVERVIEW OF THE METHODOLOGY pseudo polar co-ordinates before fitting an appropriate
function to describe the dependencies between the multiple
The object of the extreme value analysis is to provide variables.
estimates of the multivariate return values, equivalent to The complete joint pdf combines information from the
the 50-year return wave or 50-year return wind in a typical marginal distributions and the dependence structure. The
one dimensional extreme value analysis. This procedure resultant distribution aims to provide a statistical model of
requires the construction of a pdf describing the variables’ the behaviour of the variables in the region which defines
joint extreme behaviour; this is a multi-staged process but it the extreme behaviour of the offshore system; it does not
involves four key elements: attempt to accurately model the non-extreme behaviour.
While this is adequate in the case of wind and waves,
1. determining which observations are ‘extreme’;
which are highly dependent, in a situation where the vari-
2. modelling the extreme observations with indepen-
ables do not exhibit significant dependence, it will be neces-
dent, marginal distributions;
sary to model the non-extreme behaviour in more detail.
3. modelling the dependence between the marginal
Once the pdf is determined, lines (in the case of the
variables;
bivariate analysis of wind and waves) of equal force,
4. combining the marginal and the dependence models
which reflect the response of the particular structure under
to provide a final model of the multivariate extremes.
investigation, may be superimposed. Given the lines of
While the methodology is still evolving, a reasonably force and the joint pdf, the cumulative probability of
standard approach has recently emerged. This is adopted exceeding any given force may then be estimated. Hence
in the present study but with additional considerations the return force may be deduced, while the joint pdf indi-
which include providing alternative methods for defining cates the likely combinations of variables that give rise to
an extreme event. Both the discussion of the methodology that force.
and the application to the offshore environment examine The following sections discuss the implementation of
bivariate extremes. However, in concept the approach can the methodology to a bivariate environment. However, the
be extended to further dimensions if there is sufficient data. same considerations and basic formulation apply to environ-
The methodology is summarised in Fig. 1 with the four ments of a higher dimension.
key elements A, B, C and D marked. In more detail, the first
step is to ‘decluster’ the environmental time series, identify-
ing the peak events which are sufficiently separated in time 3 DECLUSTERING THE DATA
to be regarded as independent. A cluster interval is chosen,
typically 30 hours in the offshore environment: no two The first stage in an extreme value analysis is to identify a
events should be within 30 hours of each other. Events are set of declustered events: local maxima with a sufficient
then selected such that within any 30 hour interval, the separation in time such that independence is a reasonable
chosen events are maxima; these then form a set of inde- assumption. Smith’ describes a simple algorithm which
pendent events representing local maxima and potential obtains declustered events: in a univariate environment it is
extreme events. However, the first difficulty of dealing required that a declustered event should be greater than any
 Extreme value analysis in a multivariate offshore environment 305

i) 30 hour intetvnl
1
ii) XI (eg. wind)
decllLsterto produceset of
or x2 (eg. wave)
“independent”events
of f(xc.xz) (eg. force)

G?
identiQ “independent -1
extremes”of XI
_........ . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . .. . . . . . .. . . . . . . . . .. . . . . . . . .. . . . . . . . . . . . . . . . . .. . . . . . . . . . .
. ..___.___.....___._. ___.._______,__..,__.______~

1 .

Fig. 1. The methodology.

other within a specified cluster interval, i.e. no two events The declustering method is illustrated in an application to
should be drawn from the same storm. A cluster interval of a sequence of significant wave heights l-4 January 1992 in
30 h has been adopted in other offshore studies and appears Fig. 2. The declustering algorithm identifies three events, as
reasonable; a study’ of wave heights off the coast of noted in Fig. 2, with significant wave heights of 14.93 m,
Lowestoft found them to be independent with a cluster inter- 6 m and 6.45 m. Other events are not chosen because they
val of 30 h and this figure also agrees with meteorological lie within 30 h of a greater value.
observations: cyclones in the mid-latitudes occur on a time
scale of approximately 1 day.’ This method of selecting the
declustered events is also compatible with the definition of 4 IDENTIFYING MULTIVARLATE MAXIMA
storm occurrences and duration’s proposed by Houmb and
Vik” and Salih et al. ’ ’ The extension of the declustering method to the multivariate
 D.Morton.J. Bowers

some structures, the response to wind and waves may be

adequately approximated by a simple boundary function as
suggested by other studies16

fhJ*)=~d +a24 (1)

where x1 is the mean wind speed and x2 the significant

wave height. The parameters a,, a2 are obtained by a fit
of the function to the results of parametric analyses, such as
those undertaken in an investigation of the responses of a
moored semi-submersible.’ Given the inaccuracies in an
analysis which attempts to extrapolate from a few years’
Time [l/1/92-4/1/92] (hours) of data to provide estimates of return forces, the simple
approximation of the boundary function can be sufficient.
Fig. 2. Declustered wave heights.
Other bivariate functions may be employed as an alternative
boundary function but including three or more variables can
be problematic; extending the present bivariate analysis
case is not immediately obvious. While the same cluster into higher dimensions is possible but would require addi-
interval of 30 h should be applicable, unique local tional statistical modelling of the interdependencies.
maxima can no longer be defined. In the case of a bivariate Having identified a suitable boundary function, the
analysis of wave heights and wind speeds, the waves tend to environmental time series of wind and wave observations
lag the wind by several hours and it is common for the two was transformed into a univariate series of mooring forces.
variables to have their local maxima occurring at different The 30 hour criterion was applied to the time series of
times. The most relevant maxima are those which corre- mooring forces to identify the local maxima and their
spond to conditions which generate the greatest structural associated wave heights and wind speeds, Fig. 3(c) includes
response. However, such response maxima do not usually the estimate of the mooring force over the period l-4
correspond perfectly with the maxima of either the wind January 1992 using such a boundary function, Selecting
speed or the wave height. This problem of identifying the the declustered events using the boundary function as the
appropriate set of maxima is even greater when the maxima criterion implies that three events are chosen, as
influence of other variables are considered: wind speed, noted in Fig. 3(c). While these events are similar to those of
current and wave height and period can have a significant Fig. 3(b), there are some small variations. The use of the
effect, particularly on single point moored vessels*,‘* and boundary function in identifying the maxima results in a set
semi-submersibles.“” This is a specific example of the of events which is dependent on the particular structure
more general problem of ordering multivariate data that being examined; a different structure would require an alter-
has been explored in many studies13 and various approaches native boundary function, resulting in the selection of a
have been adopted in other multivariate extreme ana- different set of declustered events. The boundary function
lyses.‘4.‘5 was also used in the interpretation of the consequences of
In this study various criteria for identifying the local specified ‘combinations of wave height and wind speed by
maxima and their effects on the estimates of the return defining the region of system failure, as in Fig. 4. In later
values are explored. Since the wind has a major influence stages of the extreme value analysis the function is also used
upon any offshore structure, either directly or via the action to derive the M-year force estimates from the joint prob-
of the waves, it might be argued that the wind speed should ability distributions.
be designated as the key selection variable or ‘maxima The choice of a method for identifying the maxima thus
criterion’. The maximum wind speed within the 30 hour ranges from a general physical criterion, such as wind
interval then defines the local maximum and hence a speed, to a system specific criterion, the estimated structural
declustered event. The associated wave height, occurring response. Choosing a specific criterion should improve the
at the same time, is also noted and the simultaneous accuracy of the analysis for any given structure. However,
pair recorded as a declustered event. In the case of the this accuracy is achieved at the expense of a loss of general-
period l-4 January 1992, this implies that two events as ity, such that the derived joint probability distributions are
indicated in Fig. 3(a) would be selected. However, the no longer appropriate for all structures. The effects of using
response of many structures is such that the waves are the the different criteria are explored as part of the following
most critical aspect of the environment. Using the signifi- analyses.
cant wave height to select the maxima, and noting simul-
taneous wind speeds, three events shown in Fig. 3(b) are
chosen. 5 THE MARGINAL EXTREMES
A more specific criterion for selecting maxima is a
measure reflecting the relative importance of the wind and Having identified the declustered events, the pairs are
waves: an approximation to the structure’s response. For separated into declustered observations for each variable.
 Extreme value analysis in a multivariate offshore environment 307

2
0 1 2 3
Time [l/1/92-4/1/92] (days)

significant wave heights (metres) - mean wind speeds (m/s)

I- I
35

Time [l/l /92-4/l 1921(days)

significant wave heights (metres) - mean wind speeds (m/s)

1 2 3
Time [l/l/92-4/1/92] (days)

significant wave heights (metres) - mean wind speeds (m/s)

- mean mooring force (KN)

Fig. 3. Extremes and concomitants. (a) Maximum mean wind speeds and concomitant significant wave heights. (b) Maximum significant
wave heights and concomitant mean wind speeds. (c) Maximum forces and concomitant significant wave heights and mean wind speeds.
308 I. D. Morton, J. Bowers

suitable thresholds in a number of extreme value stu-

dies; “*‘5*‘7 while the shapes of the mean excess plots for
Failure region environmental variables differ, they do display points at
which the characteristics of the distributions help in identi-
fying suitable thresholds. However, in practice the plots do
chains may break
not usually exhibit a distinct, dramatic onset of linearity and
some subjective judgement is still required in determining
the threshold.
While the methods outlined introduce some objectivity
into the selection of the threshold, there is still an element of
subjective judgment. The choice of threshold influences the
extreme value analysis in two critical ways: the identifica-
tion of the set of extreme events, and also the determination
u/oWs) of the parameters of the GPD describing the magnitudes of
Fig. 4. The boundary function with safety and failure regions. those extreme events. However, experience in a limited
number of studies suggests that the return values are reason-
ably robust to the choice of threshold and greater precision
Appropriate thresholds are identified for each set of the in determining the thresholds is not necessary; it appears
declustered observations: these thresholds are such that an that the technique outlined above is usually sufficient.
observation exceeds the specified value and can be desig-
nated ‘extreme’. For each variable Xj, a marginal distribu-
tion is then identified to model the behaviour of the 6 THE MARGINAL DISTRIBUTIONS
excesses, Xj - up In the present study generalised Pareto
distributions (GPD) were employed, as used extensively Once the marginal thresholds have been determined, they
by Davison and SmithI for modelling environmental phe- can be applied as a criteria to identify the extreme events for
nomena. The GPD is: each marginal variable. A GPD is then fitted to each set of
marginal extremes, using a maximum likelihood procedure
1
to estimate the parameters u, K and p. The GPD has a prob-
G(xj) = 1- 1- ~ (Xj - Uj) ~ (2) ability density function
J
1
--I
Xj being an independent observation exceeding a specified
1- ~ (Xj - Kj
threshold Uj, Uj is a scale parameter and Kj a shape para- g(Xj) = ~
(4)
J ( J
meter. Appropriate values of Uj and Kj are estimated for
each marginal variable, these are valid for the conditions and the likelihood and negative log-likelihood of this are,
(X: 1 - K(X - U)/U > o}. 1
A key step in the marginal modelling, is the identification
/!ik(~, K; X) = lfi i (1 - : (x0 - Uj)) ‘- ’ (5)
of suitable thresholds Uj. One way of determining the
J J
threshold for a given variable is to construct a mean excess
plot, as described by Davison and Smith.17 The - I(Uj, Kj;X) = njlOg(Uj)
declustered observations Xij, i = 1,2...N, are ordered and
the mean excess determined. A suitable choice for the
-((l-Kj)-l)flOg(l-(~(XV-Uj))) (6)
threshold may be made by considering the expectation of i=l
an excess, given that an exceedance has occurred, assuming
a GPD: Below the thresholds, uj, in the non-extreme zone, an
approximate empirical cumulative distribution function
E(Xj - UjlXj > Uj) = Oj - Kj”j
~ 0 I uj s xN,j
(cdf) is employed which is based on the ranks, R,of the
1 +Kj
observations Xj
The mean excess is plotted against the threshold u. This
R(X)
plot can reveal changes in the behaviour of the declustered P(Xj > XlXj < Uj) = ~
nj+ 1
observations and the onset of extreme characteristics.
Above the threshold Up in the region where a GPD is
appropriate, the plot should be linear with an intercept
Uj/(l + Kj), and Slop - Kj/(l + Kj). Hence by plotting 7 TRANSFORMING THE VARIABLES
the mean excesses and then identifying the onset of linear-
ity associated with the GPD, the threshold may be selected Having determined marginal distributions, the next stage is
in a reasonably objective manner. to consider the nature of the joint distribution. As a prepara-
Mean excess plots have been employed in determining tory step, it is recommended’4”5 that the marginal variables
 Extreme value analysis in a multivariate offshore environment 309

are transformed such that their cumulative distributions variables. The inter-relationships are then modelled by a
become unit Frechet. This transformation both scales the dependence structure which reflects the behaviour of the
variables and also places a greater weight on the more joint extremes; this process is summarised in block C of
extreme observations which helps to distinguish them. Fig. 1. Ideally the dependence structure is independent of
They appear to be a non-homogeneous scattered collection the particular offshore system and reflects a fundamental
of points in space while the less extreme observations physical relationship between the environmental variables.
appear homogeneous and are thus collapsed down towards First the set of joint extremes must be identified, by use of a
the axes. Only the extreme observations are used in the joint joint threshold. This threshold has the sole purpose of deter-
analysis. mining the data set for the construction of an appropriate
The unit Frechet transformation is undertaken by identi- dependence structure. Considering the transformed vari-
fying a function Z(X) such that Z has a cumulative ables, expressed as pseudo-polar co-ordinates r and w
distribution where r is a scaled measure of the magnitude of the joint
event, a threshold, u, is required. The threshold is chosen
0 250
Pr(Z < 7) = (8) such that the radial and angular components r and w are
i exp(-z-‘) z>O independent, otherwise the point process modelling assump-
tions are not satisfied.18 In addition, the joint threshold
while Xj has a distribution described by a GPD:
should not compromise the previously selected marginal
thresholds, uj: the threshold u,. describes an arc in unit
Pr(X,<x)=l-Pj l-:(.x-u’) Ki frechet space and this should correspond reasonably well
( J )- with the boundary implied by the combination of the two
marginal thresholds.
where j = 1,2 corresponding to the two margins, and p, is
A graphical method of choosing an appropriate joint
the proportion of declustered events exceeding Uj. Thus the
threshold un using histograms, was suggested by Joe et
required transformation is
a1.l9 However, in the discussion of the Coles and Tawn14

I)
-I
1 paper, M. Dixon offers an alternative method suggesting
that the variance, as opposed to the histograms, of the
Zj(Xj) = - 1 -pi{ 1- Kj(Xj - Uj)/Uj} ~
angular co-ordinate w should be plotted against the radial
co-ordinate, r for various arbitrary values of r,,,‘“. It is
Xj > Uj (10)
suggested that independence between the two pseudo-
polar co-ordinates is satisfied when the variance increases
Below the marginal thresholds, Uj, the empirical cdf’s appreciably and at this point the joint threshold, u, is chosen.
(eqn (7)), describe the distributions of Xj and the appropri-
ate transformation is

Zj(Xj)= - [Ioe(s)]-' Xj'Uj

(11) 9 MODELLING THE DEPENDENCE STRUCTURE

Having transformed the marginal variables, a second trans- Various models of the dependence between extreme vari-
formation is recommended I4315in order to combine these ables have been suggested: logistic,*’ bilogistic” and
variables in such a way that their joint distribution may be Dirichlet. I4 However, it appears that the choice of depen-
better appreciated. Pseudo-polar co-ordinates are con- dence model is not usually critical to the accuracy of the
structed from the unit Frechet variables. The radial compo- final model: previous studies “,‘s,‘8 have found that each of
nent corresponds to the combined magnitude of the extreme the dependence models appear to describe the distribution of
event while the angular components capture the dependen- bivariate data equally well. Furthermore later sensitivity
cies between the variables. In the bivariate case, the analyses, in Section 14, suggest that the final estimates of
pseudo-polar co-ordinates are defined as the return forces are not sensitive to the choice of the depen-
dence parameter. Hence in the present study the simplest
(4 +z21
r= (12) model was adopted, the logistic:
n

Zl
w=-
(13) (14)
nr

The parameter p, the dependence measure, is determined

8 CHOICE OF JOINT THRESHOLD by a consideration of the distribution of w. The distribution
of Z = (Zl,Z2) is modelled’4”5~‘8*‘9 as a point
The transformations described by eqns (8)-(13) are process, where P, denotes a set of points in ‘9Zt and P, =
designed to help distinguish the characteristics of the (n-‘Zi: i = 1,2 ,..., n), n being the number of observa-
marginal variables and inter-relationships between those tions. The limiting process of P, can be described by an
310 I. D. Morton, J. Bowers

intensity measure A where is the logistic model and

A(dr * dw) = f dH(w) (15)

V,(z)= g+z,‘-’ qy+&
and H is the dependence function which satisfies I

(23)
s w$lH(w) = 1 (lo)
s I’
The measure density, h, of the dependence function, H, in V2(z)= g=(-&--’ ,((g+(t)‘)~-
the case of a logistic model is 2

(24)

h(w)=(cp- l)(w(l- w))‘“-2(wp+(1 - w)“))(P-2

~=(--T;~-l~(-L~~-l)(l--P)
V,,(z) =
(17)
In this model cp = 1 corresponds to independence between
the two variables and cp = ~0 implies perfect dependence.
The dependence measure has a corresponding negative
x ((;)q+(y)i-2 ’ (25)

log-likelihood function which can be used to determine

a suitable estimate of cp

- Z(cp;w) = - nlog(cp - 1)
az,__
ax,-pj~eXp(~)~~(l-(~j-uji))t-' (26)
J

- (‘P- 2, $ l”g(wi( 1 - Wi))

i=l
The resultant pdf describes the distribution of the joint
extremes. When there is a reasonably high dependence
between variables and only the extremes are of interest,
-
( >
$ - 2 5
i= I
lOg(Wp + (1 - Wi)“) (18) this pdf is sufficient. However, where non-extreme con-
ditions are of interest alternative distributions should be
employed to model the pdf. In this study it will be shown
While some studies have estimated all parameters cp, Oj and
Kj simultaneously, it appears that little accuracy is lost in that the methodology is sufficient for estimating 50-year
estimating them separately while significantly simplifying conditions associated with the wind and waves because
the computation. there is a high dependence.

10 CONSTRUCTING THE JOINT PROBABILITY 11 CALCULATING THE RETURN PERIOD

DENSITY FUNCTION FORCES

Having established suitable marginal distributions (in Part 6 Given the density values from the pdf, exceedance probabil-
and shown in Box B of Fig. 1) and the dependence structure ities for extreme values may be deduced and, hence the
(in Part 9 and Box C of Fig. l), a joint pdf may be con- return values estimated. Assuming a boundary function
structed. The details of the process, in the bivariate case, describing the response of a structure to a bivariate environ-
may be described2’ in terms of ment as follows
2
(19) fh42)=v:+~2x~ (27)
&Gl >x1,X2 >x2)
I 2
with an inverse
where
Pr(X, > xl, X2 > x2) = exp( - V(z)) (20) ii
(28)
Therefore,

a2 The probability of exceeding a given response force f is

-Pr(X, > xl,X2 > x2)
ax, ax2
Pr(F >f) = &I 7 %)~2~I (29)
= W1(z)V2(z) - V12(z))$$ exp( - V(z)) (21)
I 2 This represents the probability that a random declustered
where event will have an associated force greater than J The
return period (in years) associated with the forcef is
1
(22) (30)
NPr(F >f)
 Extreme value analysis in a multivariate offshore environment 311

where N is the mean number of declustered events per year. 13 AN EXTREME VALUE ANALYSIS OF A
Thus lines (in the case of a bivariate analysis) of equal BIVARIATE ENVIRONMENT AND ITS IMPACT ON
force may be superimposed on the contour plot of the pdf A SEMI-SUBMERSIBLE
and related to the return values. This output both records
the M-year return forces and also indicates the events, e.g. The method is demonstrated in a bivariate extreme value
the particular combinations of wind and waves, which are analysis of the wind and waves producing estimates of the
likely to result in these forces. 50-year return forces that would be experienced by a typical
semi-submersible. Data were provided describing the
environment for 1990-94 at the Shell UK Exploration and
Production North Cormorant Platform. This is situated in
12 CONFIDENCE LIMITS AND SENSITIVITY
the northern North Sea at 61”14’N 01”09’E, approximately
ANALYSES
100 km E by NE of Shetland. Some exceptional storms were
experienced between 1990 and 1994 and it appears that
In order to appreciate statistical uncertainties about the esti-
extreme value analyses employing this data set are likely
mates of the return values, it is useful to obtain confidence
to overestimate the return values. However, the data are
intervals for the various parameter estimates. Estimates of
sufficient to illustrate the methodology and its practicalities.
the confidence intervals associated with the GPD and the
l-Hourly significant wave heights were recorded by a
dependence function may be obtained by considering an
Wavec buoy24 and mean wind speeds, 10 min averages
approximation, for large sample sizes, of the log-likelihood
at l-hourly intervals, were measured at 101 m above the
function. Using the Taylor expansion of the negative log-
mean sea surface on the platform. The recommended
likelihood function
height for return level estimation is 10 m above the sea
(e-6) A surface3 and the North Cormorant data were corrected to
qe;x) = l(6x) + (e - b)1’(8x)
+ ,-lye x) (31) 10 m height using the recommended24 multiplicative factor
of 0.75.
where 0 denotes the set of parameters. The first derivative
The impact of this environment on a moored semi-
of the negative log-likelihood is zero at the maximum likeli-
submersible was considered by using a simple response
hood estimates since it is a local maximum, so therefore
function
(e-8) ,.
l(8; x) - &!(5
x) = _Eye x) (32) f(x, ,x2) = 25x: + 2x; (36)
where f is the mean mooring force (kN), x1 the l-hourly
where the second derivatives of the negative log-likelihood,
significant wave height (m), and x2 the l-hourly mean wind
at the parameter estimates, measure the curvature of the
speed (m/s). The function is based upon results of a para-
function. This is termed the Hessian matrix. The log-
metric analyses, such as those undertaken by Yilmaz,’
likelihood ratio statistic is asymptotically equivalent to
although it is only an approximation for the purposes of
chi-square,22 so
this illustrative analysis. A major simplification is that the
directionality of the environment has been ignored. It is
l(eix) - ~(8~) = &2(i C) (33)
assumed that the wind and waves are collinear, at a con-
stant 90” to the pontoons of the semi-submersible. For such
for c degrees of freedom. Since x2 is asymptotically
a structure, this will result in overestimating the response
distributed as the square of a standardised normal
forces.
variable*”
The response function of eqn (36) was’applied to each of
the hourly observations, providing estimates of the mooring
$(l: c) = ;(N(O, 1; F))’ (34) forces that would have been experienced by a semi-
submersible moored at North Cormorant during 1990-94.
From these approximations the 95% confidence intervals The declustering algorithm, employing the estimated force
can be obtained as the maxima criterion, was then applied to the l-hourly
I -. observations at North Cormorant, identifying 614 declus-
tered events. Mean excess plots for the significant wave
{e;Ll.96+&~e~~+l.9+--$---} (35)
heights and the mean wind speeds associated with these
declustered events were constructed, as in Figs 5 and 6.
Simple sensitivity analyses may be undertaken considering The mean excess plot for the significant wave heights at
the effect of assuming the upper and lower limits for each North Cormorant is similar in shape to that obtained by
parameter in turn. While lacking in rigour, e.g. the esti- Coles and Tawn14 using data from the Seven Stones light
mates of u and K are very much related and ideally should vessel moored 34.6 km off the coast of Cornwall at 50”N
not be varied independently, this provides ready guidance 6”W. The mean excess plot for mean wind speeds is similar
to the major sources of uncertainty in the estimates of the in shape to that obtained by Anderson and Nadarajah I5
return forces. using l-hourly mean wind speeds from the Eskdalemuir
312 I. D. Morton, J. Bowers

2 4 6 6

Threshold

Fig. 5. Mean excess plot for significant wave heights (units in Fig. 6. Mean excess plot for I-hourly mean wind speeds (units in
metres). m/s).

observatory in the Southern Uplands of Scotland. Initially, wind speeds, exceeding 18.5 m/s. GPD’s were then fitted to
the mean excess plots were examined for evidence of a point both marginal sets, using the negative log-likelihood func-
at which the nature of the distributions changed. Ideally, tion of eqn (6). The results of this are shown in Table 1
there should be an onset of linearity corresponding to the together with the 95% confidence intervals for each of the
point at which the use of the GPD becomes valid. In practice parameter estimates. The significant wave height parameter
this point is not so distinct and some judgement is necessary. estimates are similar to those found in other analyses;14 the
There is a trade-off: selecting a very high threshold ensures mean wind speed estimates were also similar to those in
that only true extremes are identified, but there will be few other studies,15 with the exception of the scale parameter.
observations and subsequent stages of the analysis will However, perfect agreement was not expected given the
suffer from a lack of data. Choosing a low threshold secures difference in the nature of the location: North Cormorant
more data points but many of these observations will not be is offshore whereas Eskdalemuir is inland.
true ‘extremes’ and the GPD is no longer valid. The mean After transforming the marginal variables to unit Frechet
excess plots and their associated thresholds from other and pseudo-polar co-ordinates a plot was constructed of the
studies’4*‘5 provide a basis for selecting the thresholds for variance of w given r > rmin,for any choice of rmin values, as
the North Cormorant study; although the values differ, the in Fig. 7. In this plot there is a significant change in the
same general patterns in the mean excess plots are apparent. variance when r = 0.033 as indicated by an arrow. Using
These comparisons suggested a threshold, u, of 6.5 m for the the same principles as suggested by M. Dixon in the discus-
significant wave heights and 18.5 m/s for the mean wind sion of the Coles and Tawn14 paper, this was selected as the
speeds, as noted by arrows in Figs 5 and 6. The thresholds joint threshold. Fig. 8 shows the result of the transformation
mark a change in the character of the mean excess plot, process. The first plot depicts the declustered observations
though the linearity associated with the GPD is imperfect before any transformation, together with the marginal
since there are relatively few data satisfying such high thresholds suggested by the mean excess plots. The
thresholds. second plot illustrates the point process with the margins
The thresholds were then used to determine a set of 70 transformed to unit Frechet; in this plot the joint threshold is
marginal extreme significant wave heights, the declustered shown as an arc. The plot helps to accentuate the extreme
wave heights exceeding 6.5 m, and a separate set of extreme events: the less extreme events are scaled to the axes while
 Extreme value analysis in a multivariate offshore environment 313

Table 1. Estimating the marginal parameters

Maxima Marginal Marginal Scale Shape -l(U, KX) n

criterion variable threshold, u parameter, (I parameter, K

Force u/o 18.5 m/s 3.409 (0.670) 0.194 (0.140) 103.7 51

H, 6.5 m 1.682 (0.289) 0.006 (0.124) 106.0 70
H,, u/o 18m/s 3.227 (0.700) 0.226 (0.139) 66.2 34
H, 7.5 m 1.591 (0.343) 0.013 (0.156) 65.3 45
UIO UlO 19.5 m/s 2.836 (0.579) 0.093 (0.149) 99.4 51
HX 6m 1.836 (0.292) 0.220 (0.091) 77.7 56

the extreme observations above the joint threshold become values of M, as defined by eqn (36). More details of the
more inhomogeneous. Ih the third plot the observations are return period estimates are provided in Table 3. For
shown transformed to their pseudo-polar equivalents, example, the analysis indicates that the 50-year mean moor-
employing eqns (12) and (13). All of the observations ing force is approximately 9980 kN and the plot of Fig. 9
above the joint threshold were then modelled using the suggests that typical environmental conditions giving rise to
logistic equation, resulting in a measure of the dependence, this force are a mean wind speed of approximately 32 m/s
(o, between significant wave heights and mean wind speeds and a significant wave height of 18 m. The return period
at North Cormorant. The results of maximum likelihood estimates are all based on only 4 years of data covering
estimation for the dependence measure are presented in the period 1990- 1994. Since this included some exception-
Table 2. There were 59 observations above the joint thresh- ally severe conditions, the results may overestimate the true
old u, of 0.033, and the logistic dependence measure is M-year forces; any extrapolation from past experience
2.123 with a 95% confidence of 0.146. This suggests that depends on assumptions about the relevance of the historic
there is a large dependence between significant wave data to the future.
heights and mean wind speeds at North Cormorant.
Having obtained estimates for all of the parameters, the
joint extreme pdf was constructed, as illustrated in Fig. 9.
14 SENSITIVITY OF THE RETURN PERIOD
This plot also includes lines of the M-year force for various
FORCE ESTIMATES

Sensitivity analyses of the estimates of the return period

mooring forces were undertaken, exploring the impact of
assuming the upper or lower 95% confidence intervals of
each parameter estimate. These analyses employed the esti-
mated response forces as the maxima criterion. The results
of this sensitivity test are shown in Table 4, which notes the
return period in years corresponding to a 10000 kN force
under a range of assumptions about the parameter estimates,
and are also illustrated in Fig. 10. The most influential
parameter is the significant wave height shape parameter,
K. However, this may be misleading: the estimate of K for
this marginal variable is 0.006, with the confidence interval
such that the estimate spans zero. This implies that in this
particular case there is no statistical justification for employ-
ing the complete GPD rather than the simpler exponential
model (K = 0). Assuming the exponential distribution, eqn
(2) would become

G(.Xj)=l -eXp( - (xy)) (37)

Table 2. Estimating the dependence parameter

Maxima Joint Dependence -l(cp;w) n

I I I I I I I I
criterion threshold, u, parameter, cp
0.005 0 010 0.020 0.050 0.100 0.2W 0.500 1.ooo

Force 0.033 2.123 (0.146) - 45.53 59

radial co-ordinate (r) H.Y 0.033 2.540 (0.208) - 50.67 55
UIO 0.033 2.070 (0.143) - 44.30 58
Fig. 7. The variance of w given r.
 scatter plot of extremes
I. D. Morton, J. Bowers

c
.
-1 ..
iija
5

P
8
1.00

0.1

0.01
the point process shown in

l
pseudo-polarco-ordinates

.
. . :

I
0
s 0.001

O.WO d, I

0.0 0.5 1 .o

t$$~~$a~ti~ ang$s.r~~~$-$~w)

scatter plot with axes Fig. 8. Continued.

transformedto unit frechet

of the return periods are very robust to variations in the

dependence parameter. A similar lack of influence of the
dependence parameter has been observed in other stu-
dies.‘4*‘5 Although it has been suggested that some forms
of boundary function could result in the dependence para-
meter having a significant influence, it appears unlikely that
such functions would be encountered in the analyses of off-
shore systems. Coles and Tawn14 suggested four possible
boundary functions, specified in terms of the influence

Fig. 8. The transformation of significant wave heights and mean

wind speeds at North Cormorant.

and, instead of eqn (6), the marginal parameter estimates

should be determined from the negative log-likelihood

- l(CJj;X) = fljlOg(Oj) + f_
ix=,
xi
Oi

If this were to be performed the transformation process

(in eqns (10) and (11)) and the construction of the pdf
(in eqns (21)-(26)) would have to be amended accordingly.
However, the object of the present analysis was to illustrate
the use of the point process model in its most general form,
incorporating K and the GPD. In practice adopting the
simpler exponential distribution would make little difference
to the joint pdf and the estimates of the return period forces,
but it would preclude the sensitivity analysis about K. Fig. 9. Contours of equal probability density when mean mooring
The results of Table 4 also indicate that the estimates forces are extreme.
 Extreme value analysis in a multivariate offshore environment 315

Table 3. M-Year return forces on a semi-submersible Table 5. W-Year force estimates by sea area

M-Year Force (kN) maxima criterion Sea area Force (kN) maxima criterion
return period
(years)
Force
Force H, UlO North Cormorant 9980 9265 6065
1 4600 4465 3750 Auk 6630 4230 3970
2 5460 5230 4230 DB3 6150 6120 5640
5 6650 6300 4820
10 7600 7155 5230
20 8600 8045 5605 which are necessary to obtain a return value, and in par-
50 9980 9265 6065 ticular the imprecision involved with selecting the joint
100 11080 10250 6375 thresholds.
The initial analysis was undertaken using the estimated
mooring force as the criterion for defining a local maximum
Table 4. Sensitivity analysis and hence the selection of the declustered events. However,
as noted in Section 4 and Fig. 3, other criteria might be
Parameter Return period (years) Impact adopted. Tables 1 and 2 include the results on the parameter
Upper estimate Lower estimate estimates when employing alternative maxima criteria,
of parameter of parameter while Table 3 and Fig. 10 note the effects on the return
Ulo scale u 41.7 60.9 moderate values. The immediate effect of choosing a different criter-
CJloshape K 65.2 47.4 moderate ion is that different events are identified in the declustering
H, scale u 19.5 196 large process. This results in variations in the parameter estimates
H, shape K 71500 8.98 very large and hence the construction of the pdf’s which in turn alters
Dependence v 50.2 51.1 very small
the return value estimates. Employing the wave height as
the maxima criterion makes little difference to the present
analysis since the response function is dominated by the
between dependence structure and estimates of return waves, although it results in a different set of declustered
values. The boundary function described by eqn (36) is of events, as illustrated by the scatterplots included in Figs 9,
category ‘B’ form, which is associated with the return and 11. Nevertheless, these events seem to be drawn from
values being ‘only mildly sensitive to dependence’. If similar populations since the pdfs are very similar. The
other forms of boundary functions were to be employed, it estimates of the 50-year forces, as noted in Table 5, are
would be sensible to compare them with the other categories also reasonably similar, at North Cormorant. However, the
offered by Coles and Tawn, this will provide some guidance
as to the importance of the dependence structure. It is pos-
sible that an offshore system with a response dominated by
wave height and period may have a boundary function with
a failure region which coincides with extreme wave heights
and moderate zero-crossing periods.‘* Such a boundary
function might be classified as category ‘D’ and the depen-
dence structure could be very critical to the return values.
Fortunately, in the present analyses of wind speed and wave
height a boundary function can be employed which implies
that the precise value of the dependence parameter is not too
important; this is reassuring given the various estimates

5.
2i 0.101 I i I i i i r i i I ; I +

3ooa 4ooa 5ooo 6ow 7ooo 8ooo 9oao 10000 0 10 20 30

Forces (Kn)

Mean wind speed (m/s)

mnMd~__,-mnltWh
-c Forces extreme -+ HI extreme. concomitant U,. --llbldlr,
mYOIK~~lmN4hl
- I& extreme, c0ncomitanP
ff. - U,, extreme, H, extreme
Fig. 11. Contours of equal probability density when wave heights
Fig. 10. M-year forces on a semi-submersible. are extreme.
316 I. D. Morton, J. Bowers

Table 6. Variations in the dependence parameter cpby sea area

Sea area Dependence parameter (p, maxima criterion
Force H.7 UlO

North Cormorant 2.12 (0.146) 2.54 (0.208) 2.07 (0.143)

Auk 2.271 (0.200) 2.48 (0.244) 2.15 (0.18)
DB3 (W. Shetland) 1.85 (0.093) 1.89 (0.103) 2.16 (0.13)

waves to the particular structure of interest.

The analyses of the three sea areas does not provide a
rigorous comparison of the conditions in each: the data
cover different periods and variations in the recording,
e.g. hourly data at Auk and North Cormorant but three
hourly data from DB3, preclude any real comparison
between the three areas’ 50-year force estimates. However,
a comparison of the parameter estimates does provide some
tentative insights. The estimates of u and K vary substan-
0 40 tially between sea areas, though there is evidence that an
exponential model (K = 0) is often appropriate. There is
much less variation in the estimate of (p, as noted in
Table 6. Given the robustness of the estimate of the return
Fig. 12. Contours of equal probability density when mean wind period force to cp, as noted in Table 4, it appears that a
speeds are extreme. constant value of 2.2 2 0.4 might be assumed without any
detriment to the analysis. This suggests that while the mag-
use of wind speed as the criterion in selecting the local nitude of storms vary at the three sites, the underlying
maxima does result in a very different result, as reflected relationship between the wind and waves, as reflected in
in Fig. 12. The set of declustered events is quite different, as the dependence parameter, is approximately constant.
is the pdf and also the 50-year force estimate in Table 5.
These differences highlight the need to adopt a criterion
appropriate to the offshore structure under investigation. 16 FUTURE APPLICATIONS

While much of the multivariate point process method could

15 APPLICATION TO OTHER SEA AREAS be implemented with a reasonable amount of routine, some
of the stages of the analysis, such as the choice of threshold,
The methodology was also applied in two other sea require considerable expert judgment. However, if a con-
areas. Data were provided describing the environment for stant value for lp could be assumed, as suggested by the
1990-1994 at the Shell UK Exploration and Production results of Tables 4, and 6, the process could be simplified
Auk Platform. This is situated in the central North Sea at dramatically. The modelling of the dependence structure,
56”24’N 02”04’E, approximately 270 km E of Aberdeen. As corresponding to element C of the process illustrated in
on the North Cormorant platform, l-hourly significant wave Fig. 1, would be replaced by a simple assumption of a
heights were recorded and mean wind speeds, 10 min logistic function with a parameter of 2.2 Tc_0.4. Such a
averages at l-hourly intervals, were measured at 101 m simplification would improve the potential for a more
above the mean sea surface on the platform. A further routine application of the approach, avoiding many of the
analysis was undertaken using data for 1984-1988 from stages requiring the more specialist statistical modelling
the DB3 databuoy situated west of Shetland at 48”44’N skills. However, further study in other sea areas, using
08”5O’W. This buoy recorded 3-hourly significant wave longer term data sets is needed to confirm that the assump-
heights and mean wind speeds, 10 min averages at l-hourly tion of a simple constant dependence structure is reasonable.
intervals measured at 6.5 m above the mean sea surface. In offshore applications there is often a need to consider
After standardising the mean wind speeds to 10 m heights more than two environmental variables. The response of
a bivariate analysis was completed on these two data sets. some structures is also very dependent on wave period
The estimates of the 50-year forces, using the various and current speed, and others might require a distinction
maxima criteria are noted in Table 5. These confirm the between wind-sea and swell waves. While the point process
pattern observed in the analysis of North Cormorant and model can be extended to three or more variables, a simpler
the need for care in selecting the appropriate maxima criter- approach might be sufficient. In the case of the current there
ion. It appears necessary to employ a specific boundary often appears to be minimal dependence between current
function reflecting the relative importance of the wind and speed and wind speed or current speed and wave height
 Extreme value analysis in a multivariate offshore environment 317

and as such a simple statistical model could be employed tion design criteria for fixed platforms in the Gulf of Mexico.
Proceedings of Oflshore Technology Conference, I99 I, OTC,
treating the current as independent with its own marginal
Texas, pp. 365-375.
distribution. A more challenging extension of the technique 6. Coles, S. G. and Walshaw, D., Directional modelling of extreme wind
is to include the directionality of the environment, critical to speeds. Applied Statistics, 1994, 43( I ) 139- 157.
the response of some floating systems.“* While some work6 7. Smith, R. L., Extreme value analysis of environmental time series: An
has been undertaken in this area, a standard methodology application to trend detection in ground level ozone. Stutistical
Science, 1989, 4(4) 367-377.
has yet to emerge.
8. Tawn, J. A., An extreme-value theory model for dependent
observations. Journal of Hydrology, 1988, 101227-250.
9. Oke, T. R., Boundary Layer Climates. Methuen, London, 1987.
17 CONCLUSIONS IO. Houmb, 0. G. and Vik, I., On the Duration of Sea State. Division of
Port and Ocean Engineering, Norwegian Institute of Technology,
Trondheim, 1977.
The multivariate point process model is a useful basis for
II. Salih, B. A., Burrows, R. and Tickell, R. G., Storm statistics in the
extreme value analysis of the offshore environment. It pro-
North Sea. In Coastal Engineering, 1988, Elsevier, The Netherlands,
vides estimates of the 50-year forces, taking into account the pp. 956-970.
true dependence between variables such as wind speed and 12. Miller, N. S and Wilson, P. M., The design wave conditions for
wave height, and also supplies an understanding of the determining wave drift forces on moored ships and semi-
submersibles. Behaviour of Offshore Structures, BOSS, The Nether-
environmental conditions giving rise to those forces. The
lands, 1993.
analysis of the return mooring forces at North Cormorant 13. Bamett, V., The ordering of multivariate data. Journal of the Royal
illustrates the practicalities of the methodology: it can be Statistical Society, A, 1976, 139 3 18-355.
implemented as an expert study and there appears to be 14. Coles, S. G. and Tawn, J. A., Statistical modelling for multivariate
scope for introducing some simplifying approximations to extremes: An application to structural design. Applied Statistics,
1994, 43( 1) I -48.
enable it to become adopted as a more routine technique.
15. Anderson, C. W. and Nadarajah, S., Environmental Factors Affecting
Reservoir Safety. In Statisticsfor the Environment, eds V. Bamett and
K. F. Turkman. Wiley, London, 1993, pp. 163-182.
ACKNOWLEDGEMENTS 16. Cavanie, A., Joint occurrence of extreme wave heights and wind gusts
during severe storms on the Frigg field. Workshop on the Application
of Joint Probability of Metocean Phenomena in the Oil Industry’s
The authors would like to thank the Marine Technology
Structural Design Work, 20 November 1985, E&P Forum, London.
Directorate and the Engineering and Physical Sciences 17. Davison, A. C. and Smith, R. L., Models for exceedances over high
Research Council for funding for the project and Shell thresholds. Journal of the Royal Stutistical Society, 1990, 52(3) 393-
UK Exploration and Production for providing the environ- 442.
mental data. 18. Coles, S. G. and Tawn, J. A., Modelling extreme multivariate events.
Journal of the Royal Statistical Society, 1991, 53(2) 377-392.
19. Joe H., Smith, R. L. and Weissman, I., Bivariate threshold methods
for extremes. Journal of the Royal Statistical Society. B, 1992, 54( I )
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