Sea-surge and wind speed extremes: optimal estimation strategies for planners and engineers

Accurate and precise estimation of return levels is often a key goal of any extreme value analysis. For example, in the UK the British Standards Institution (BSI) incorporate estimates of ‘once-in-50-year wind gust speeds’—or 50-year return levels—into their design codes for new structures; similarly, the Dutch Delta Commission use estimates of the 10,000-year return level for sea-surge to aid the construction of flood defence systems. In this paper, we briefly highlight the shortcomings of standard methods for estimating return levels, including the commonly-adopted block maxima and peaks over thresholds approach, before presenting an estimation framework which we show can substantially increase the precision of return level estimates. Our work allows explicit quantification of seasonal effects, as well as exploiting recent developments in the estimation of the extremal index for handling extremal clustering. From frequentist ideas, we turn to the Bayesian paradigm as a natural approach for building complex hierarchical or spatial models for extremes. Through simulations we show that the return level posterior mean does not have an exceedance probability in line with the intended encounter risk; we also argue that the Bayesian posterior predictive value gives the most satisfactory representation of a return level for use in practice, accounting for uncertainty in parameter estimation and future observations. Thus, where feasible, we propose a Bayesian estimation strategy for optimal return level inference.