Bayesian modelling of extreme wind speed at Cape Town, South Africa

In the framework of generalized extreme value (GEV) distribution, the frequentist and Bayesian methods have been used to analyse the extremes of annual maxima wind speed recorded by automatic weather stations in Cape Town, Western Cape, South Africa. In the frequentist approach, the GEV distribution parameters were estimated using maximum likelihood, whereas in the Bayesian method the Markov Chain Monte Carlo technique with the Metropolis-Hastings algorithm was used. The results show that the GEV model with trend in the location parameter appears to be a better model for annual maxima data. The paper also discusses a method to construct informative priors empirically using historical data of the underlying process from other weather stations. The results from the Bayesian analysis show that posterior inference might be affected by the choice of priors and hence by the distance between a weather station used to formulate the priors and the point of interest.