Characterizing Nonstationary Wind Speed Using the ARMA-GARCH Model

AbstractThis paper aims to accurately calculate the time-varying standard deviation of nonstationary wind speed by modeling wind speed as a time-varying mean wind speed plus a uniformly modulated nonstationary process and applying the autoregressive moving average–generalized autoregressive conditio...

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Bibliographic Details
Published in:Journal of structural engineering (New York, N.Y.) N.Y.), 2019-01, Vol.145 (1)
Main Authors: Huang, Zifeng, Gu, Ming
Format: Article
Language:English
Subjects:
Autoregressive models
Autoregressive moving average
Autoregressive processes
Computer simulation
Economic models
Regression analysis
Standard deviation
Stochastic models
Structural engineering
Technical Papers
Volatility
Wind speed
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Summary:AbstractThis paper aims to accurately calculate the time-varying standard deviation of nonstationary wind speed by modeling wind speed as a time-varying mean wind speed plus a uniformly modulated nonstationary process and applying the autoregressive moving average–generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model to analyze the time-varying standard deviation of the wind speed. This paper also proposes a convenient and practical first-order difference GARCH method for calculating the time-varying standard deviation of uniformly modulated nonstationary processes that can decrease the computation time. The applicability of the ARMA–GARCH model, first-order difference GARCH method, and existing common methods for calculating the time-varying standard deviation of nonstationary wind speed are verified and analyzed using numerical simulations. The results show that the ARMA-GARCH model and first-order difference GARCH method are superior to the existing common methods. Finally, with the combination of the ARMA-GARCH model and first-order difference GARCH method, the nonstationary wind characteristics (considering the nonstationarities of mean wind speed and standard deviation) of Typhoon Chan-hom are investigated and compared with the results only taking into account time-varying mean wind speed.
ISSN:0733-9445
1943-541X
DOI:10.1061/(ASCE)ST.1943-541X.0002211