How to tell if a return period value is a good estimate?
How to tell if a return period value is a good estimate?
(OP)
I am using the helpful package WAFO to estimate a survival load for a structure, but I am having trouble interpreting the results.
Background:I have a measured time series of the load, and I identify peak values using the "peaks over threshold" method. The identified peaks are then fit to an expected distribution for extreme events (General Pareto Distribution) and the fitted distribution is used to generate the expected value at the chosen return period of 3 hours.
Problem: WAFO returns confidence intervals on its return period estimate, and it also plots comparisons between the fitted and measured distributions. Sometimes the fit is poor (highest peaks do not fall on the fitted distribution), yet the confidence bounds are narrow (indicating that estimate of the return period is precise). Sometimes the fit is good, but the confidence bounds are wide. There seems to be no relation between the quality information returned from the two sources (confidence bounds vs. fit evaluation).
Question: Why would I get narrow confidence bounds when the fit is poor? Which is a better indicator of the quality of the return period estimate: the confidence bounds, or the closeness of the fit to the measured distribution?
Background:I have a measured time series of the load, and I identify peak values using the "peaks over threshold" method. The identified peaks are then fit to an expected distribution for extreme events (General Pareto Distribution) and the fitted distribution is used to generate the expected value at the chosen return period of 3 hours.
Problem: WAFO returns confidence intervals on its return period estimate, and it also plots comparisons between the fitted and measured distributions. Sometimes the fit is poor (highest peaks do not fall on the fitted distribution), yet the confidence bounds are narrow (indicating that estimate of the return period is precise). Sometimes the fit is good, but the confidence bounds are wide. There seems to be no relation between the quality information returned from the two sources (confidence bounds vs. fit evaluation).
Question: Why would I get narrow confidence bounds when the fit is poor? Which is a better indicator of the quality of the return period estimate: the confidence bounds, or the closeness of the fit to the measured distribution?





RE: How to tell if a return period value is a good estimate?
"People will work for you with blood and sweat and tears if they work for what they believe in......" - Simon Sinek
RE: How to tell if a return period value is a good estimate?
RE: How to tell if a return period value is a good estimate?
I read it as a certain confidence that the returned value was good even though the fit might have been bad.
"People will work for you with blood and sweat and tears if they work for what they believe in......" - Simon Sinek
RE: How to tell if a return period value is a good estimate?
RE: How to tell if a return period value is a good estimate?
Not many other fields would be at all interested in how confident they were about a bad answer, but statistics ... somehow yes.
"People will work for you with blood and sweat and tears if they work for what they believe in......" - Simon Sinek