Windspeed recording process and related issues

Vincenzo Ferrazzano

July 20, 2011
Abstract
Recording process for windspeed data and subsequent data manipulations are discussed.
Here we show why those manipulations should be taken into account in modeling. Those
operation can lead to artifacts that can be misinterpreted or aect the estimation of physically
meaningful quantities.
1 Introduction
Advances of theoretical physics are closely tied up with the outcome of experimental physics.
The experimentalist could bring to light phenomenons that have to be explained by the theorist,
or the former is required to produce data which meet some latters predictions. Then having
knowledge of the data acquisition process is of interest for the theorist as well.
We will show that the intrinsic discretization structure that arises from the data acquisition
process can spoil the retrieval of some statistical information from the turbulence data, e.g. the
distribution of the increments. Notwithstanding the fact that this work was originated by the
analysis of turbulent windspeed data, the phenomenon illustrated applies to a wide range of
scientic datasets.
Our work is organized as follow: in Section 2 we review the data acquisition process and we
present possible issues that can arise in the analysis of the data; In section 3 we show with a
theoretical arguments that the discretization error is approximately uniform and independent
of the measured value if the discretization level is small and it can be safely ignored in the
estimation of second order quantities. In Section 4 we analyze an alleged high quality dataset,
which presents very pathological histogram of the increments, especially for small increments.
2 Experimental data
Direct measuration of a physical quantities is often impossible in a direct way, and therefore they
have to be inferred. Mostly the inference involves electronic devices, whose output can be putted
in relationship with the quantity of interest.
To measure turbulent velocities for scientic purposes a widely device is the hot-wire anemome-
ter. It consists in a thin wire of metal, with a current running through it. The goal is to heathen
the wire up to a temperature much greater than the one of the ow being measured, and this
temperature will be kept constant by an ad-hoc circuitry.

Center of Mathematical Sciences, Lehrstuhl fr Mathematische Statistik, Parkring 13, 85748 Garching, Ger-
many, email: ferrazzano@ma.tum.de, http://www-m4.ma.tum.de/pers/ferrazzano/
1
As a result, when the hotwire is immersed in the considered ow, the ow will cool it down.
This cooling eect, which is an increasing function of the ow velocity, will be compensated with
a variation of the voltage at one end of the circuitry. Then what we actually observe is a function
of the velocity of the ow. The whole process is aicted by various errors, which can be kept at
bay, but not eliminated, by a correct preparation of the experiment. For further reference and
details we defer to Tropea et al. (2008) and Bruun (1995).
2.1 Data acquisition process: hotwire anemometer
Here we schematize operations performed to collect windspeed data. We will denote the voltage,
which is the actual output of the hotwire, with V
0
(t), t [0, T]. Moreover, to stress when a
quantity X is a continuous time signal, we will use X(t), for t R. For the discrete time values,
the notation X
i
, for i Z, is used.
Figure 1: Succession of typical operation performed on the data, as reported in Bruun (1995).
As mentioned before, the output of a hotwire is not a windspeed, but the voltage dierence
V
0
(t) between two ends of the anemometer. This signal will be ltered by applying a low-pass
lter, with cut o frequency set at half (or less) of the sampling frequency. The rationale for this
operation is the Shannon-Nyquist theorem that assure that a good reconstruction of the signal
in the time domain can be obtained only for information contained in the part of the spectrum
with frequency f < f
0
/2. All those operations are applied to the analog (i.e. continuous time)
signal through electronic devices.
After those ltering operation we have a signal

V
0
(t), which is amplied through an amplier
that gives an output V
1
(t) = a

V
0
(t), where a R
+
is the gain factor.
After these manipulation the signals are passed through an analog-to-digital converter (A/C),
in order to get a discrete sequence of values, to be used by a computer. The resolution of an A/C
is expressed in bits, indicated with an integer p. Let us assume that the signal to be sampled
is included in the interval E = [V
l
, V
h
], then we call |E| = V
h
V
l
, the voltage scale. The
voltage scale can be adjusted, accordingly to the amplitude of the incoming signal, but after
that it remains xed during the experiment. Since only signals with values in E can be properly
sampled, it is necessary to take E large enough in order to have
V
l
a

V
0
(t) V
h
t [0, T],
otherwise the experiment has to be run again, since the exceeding values will be chopped o.
Then the digital data will have a truncation level of
=
|E|
2
p
1
. (2.1)
2
Now we obtain discrete-time data V
i
, for i = 0, . . . , [Tn] :
V
{}
i
=
_

V
1
(i/n)

+ 1/2
_
=
_

V
0
(i/n)

+ 1/2
_
; (2.2)
where

= |E|/a(2
p
1) is the equivalent truncation level of the signal V
0
(t).
In general, the A/C is a non-linear device. The voltage scale |E| and the amplier gain has
to be chosen in order to minimize the truncation level, but keeping an eye on the specics of
the electronic equipment, because every electronic device has precise operative ranges, where the
behavior of each instrument is, to a satisfying level, linear. Usual values in the eld of hotwire
anemometry are p = 12 bit, E = 20 volt, with an a chosen accordingly. That means 0.0012,
i.e. the voltage increment has no more than 3 digits.
The last step to get velocity data is the calibration curve: there exists a deterministic rela-
tionship between voltage and windspeed, which has to be determined for each anemometer. An
anemometer is normally tested in turbulence facility, like a wind tunnel, with a stable, constant
and known speed and turbulence; then the output voltage is recorded. The procedure is repeated
for some windspeeds (usually 10-30 values) and then results are interpolated, to get a calibration
curve; which is, mathematically speaking, a continuous function f

: [V
l
, V
h
] [0, v
max
], which
depends on a vector of parameters.
Example 2.1. The most common interpolating function is given by Kings Law
V
2
= k
0
+ k
1
v
n
, V E, (2.3)
where the exponent n depends on the geometry of the sensor. Then f

(V ) =
__
V
2
k
0
_
/k
1
_
1/n
and the vector is = (k
0
, k
1
, n). We note that f

is increasing and concave. If the voltage signal

had symmetric increments, the windspeed will in general not.
Normally this procedure is too expensive to be performed for each commercially available
anemometer, and it is reserved only to those to be employed in high precision scientic measure-
ment. For all other purposes the producer provides a standard calibration curve.
Although the discretization procedure in the voltage data is clear, in wind data it is not.
That can be seen using the chain rule
v
t
=
v
V
V
t
f

(V
{}
i
)
V
{}
(i+1)
V
{}
i

.
Now the discretization step depends on the derivatives of the calibration curve, which normally
is not given along with the time series. Fortunately, it is possible to recover some information
from the windspeed data.
2.2 Recovering the parameters
Let us suppose now that the interpolation function f

is smooth enough to perform all the needed

derivatives. Using Taylors formula on f

(V ) we get for appropriate n N:

v = f

(V
{}
+ V ) f

(V
{}
) =
K

i=1
1
i!
f
(i)

(V
{}
)(V )
i
+ o
_
(V )
K
_
. (2.4)
3
we conclude from the rhs of (2.4) that the new discretization steps depend on derivatives of the
calibration curve f at voltage V and on the discrete increments V . Since Taylors formula is
precise only for small V and, by smoothness of f, for small v, it makes sense to consider only
the increments up to a threshold . Then for all j
i
N such that |
j
i
v| < :

v = (
j
0
v, . . . ,
jn
v)
where
j
v = v
j+1
v
j
. Then we summarize the associated levels v

as
v

= (v
j
0
, . . . , v
jn
).
Plotting

v versus v

one has a striking visual eect of the discretization eect, as depicted in

Figure 2.
Figure 2:

v vs. v

for the Brookhaven dataset, = 0.05. The non-linear behavior of the curves
is given by derivatives of Kings law. Note that 92.36% of all increments of Brookhaven dataset
belongs to
0.05
v, including the already mentioned 23% of null increments (in red).
Of course, null increments are distributed along all the measurement levels, but other incre-
ments move along solid curves, as the speed varies; this has to be attributed to the variation of the
derivatives of f

. Then we x V and we get discretized increments

i
v := f

(V +iV ) f

(V );
using Taylors formula:

1
v =
K

i=1
1
i!
f
(i)

(V )(V )
i
+ o
_
(V )
K
_
.
.
.
.
.
.

K
v =
K

i=1
1
i!
f
(i)

(V )(KV )
i
+ o
_
(V )
K
_
(2.5)
Since our data are given in velocities, we perform a change of variables: V = f
1

(v). Then, in
the light of (2.5) we can interpret Figure 2 in two dierent manners:
4
We x v and we look at the dierent branches of the increments: here we see how the
velocity can jump discretely only to some predened values. That happens because the
voltage is moving with step V .
We look only at the rst, upper branch (i.e. the one composed by the smallest non-null
increments). If we move along this curve, we have xed V and we vary v, that is, we see
how the derivatives of f

inuence the increments.

The rst outlook gives us an immediate feeling of the discreteness of our data, but the second
one is more productive. Since V (2
12
1)
1
= 2.4420 10
4
we can hope to reach a good
approximation with low order Taylor series.
We propose the following strategy to recover the parameter vector .
Take increments
(1)
v := {v : belongs to the rst branch} and the levels v
(1)
:= {v :
belongs to the rst branch}. Furthermore, let = (, V ) be the extended parameter vector of
the Taylor series and let
(0)
be a guess on , which we take as initial values.
Then we perform a non-linear least squares tting on the rst order Taylor series

(1)
v = f

(f
1

(v
(1)
))V (2.6)
returning the estimate
(1)
. If the estimate is too crude, we may need to take higher order Taylor
polynomials into account, getting the estimate, for instance,
(2)
from a least squares tting on
the second order:

(1)
v = f

(f
1

(v
(1)
))V + f

(f
1

(v
(1)
))
V
2
2
(2.7)
improving
(1)
, and so on. If the function f

is complicated, it may be a good idea to start with

a Taylor expansion of ord, but if f

is polynomial, we can use directly the Taylor series of order

equal to the order of f

.
3 Impact of the discretization
As we have seen in in formula (2.2), the discretization of a number x to the next integer, can be
written as
x
{}
= x/ + 1/2.
Let us consider the (slightly more general) scaled rounding error to the level with code a

,a
(x) := x/ x/ + a, > 0, a [0, 1].
We can write each real number x = k + u, u [0, 1], k Z, then x
{}
= k and

,a
(k + u) =
_
u, 0 < u < 1 a
u 1, 1 a u < 1
, k Z, u [0, 1].
Moreover, x
{}
= x
,a
(x).
To state the impact of the discretization error on the estimations of statistically meaning
quantities is possible, but rather complicate. Delattre (1997) studied the eect of round-o (or
truncation) error on the estimation of the integrated volatility for a diusion process. We now
extended this results to cover the discretization case.
The basic tool of his work is Proposition 5-1. of Delattre (1997), where he rened previous
results of Kosulaje (1937) and Tukey (1939).
5
Proposition 3.1. Let g be a function on R[1, 1] such that, du-almost everywhere, x g(x, u)
is absolutely continuous. Then the derivative

x
g(x, u) exist du dxalmost everywhere. If
_
R
_
1
1

x
g(x, u)

dxdu < ,
then the following holds for every > 0 and 0 a 1:
1.
_
R
g (x,
,a
(x))) dx =
_
R
_
1a
a

1
(u, {x/})

x
g(x, u)dudx +
_
R
_
1a
a
g(x, u)dudx.
(3.1)
where

1
(u, v) =
_

1
(u, v), u > 0

1
(u + 1, v), u 0
and

1
(u, v) = v 1
{v>u}
2. Let a = 1/2. If g is odd in the second variable the second integral in (3.1) is zero. Moreover,
if g is even in the rst variable, the r.h.s. of (3.1) is 0.
3. if g(x,
,a
(x)) = f
X
(x)h
1
(x)h
2
(
,a
(x)), then (3.1) can be rewritten as
E
X
[h
1
(X) h
2
(
,a
(X))] =E
X
[h
1
(X)]E
U
[h
2
(U)] +
_
R
_
1a
a

1
(u, {x/})

x
g(x, u)dudx,
(3.2)
where U is a uniform random variable with support (a, 1 a), f
X
is the pdf of a random
variable X. Moreover we denote with E
X
[] =
_
R
f
X
(x)dx and E
U
[] =
_
1a
a
du.
Proof. We move along the lines of Proposition 5-1. of Delattre (1997). We know that, for u+c
[a, b]
_
b
a

1
(u + c, v)

x
g(k + v, u)dv =
_
b
a
v

x
g(k + v, u)dv
_
b
a
1
{v>u+c}

x
g(k + v, u)dv
=
_
b
a
v

x
g(k + v, u)dv
_
b
u+c

x
g(k + v, u)dv
=
v

g(k + v, u)

v=b
v=a

_
b
a
g(k + v, u)dv
_
b
u+c

x
g(k + v, u)dv
=
b

g(k + b, u)
1

_
b
a
g(k + v, u)dv
_
b
u+c

x
g(k + v, u)dv
=
1

_
b
a
g(k + v, u)dv +
b 1

g(k + b, u)

g(k + a, u)dv + g(k + (u + c), u)

Then we get the identity for b = 1, a = 0 :
g((k +c)+, u) =
_
1
0

1
(u+c, v)

x
g(k+v, u)dv +
_
1
0
g(k+v, u)dv, u [c, 1 c].
6
xing c = 0
g(k + u, u) =
_
1
0

1
(u, v)

x
g(k + v, u)dv +
_
1
0
g(k + v, u)dv, u [0, 1]. (3.3)
and c = 1 we have:
g((k + 1) + u, u) =
_
1
0

1
(u + 1, v)

x
g(k + v, u)dv +
_
1
0
g(k + v, u)dv, u [1, 0].
(3.4)
Using periodicity of the function
1
(1 a, u)
_
R
g (x,
1
(1 a, {x/})) dx =

kZ
_
1
0
g(k + u,
1
(1 a, u))du
=

kZ
_
1a
0
g(k + u, u)du +

kZ
_
1
1a
g(k + u, u 1)du
=

kZ
_
1a
0
g(k + u, u)du +

kZ
_
0
a
g((k + 1) + u, u)du
Using (3.3) and (3.4) we get
_
R
g (x,
1
(1 a, {x/})) dx =

kZ
_
1a
0
_

_
1
0

1
(u, v)

x
g(k + v, u)dv +
_
1
0
g(k + v, u)dv
_
du

kZ
_
0
a
_

_
1
0

1
(u + 1, v)

x
g(k + v, u)dv +
_
1
0
g(k + v, u)dv
_
du
We exchange the order of integration (now the rst and the second variable are independent) e
we restore the integration variable x = k + v getting:

_
R
__
1a
0

1
(u, {x/})

x
g(x, u)du +
_
0
a

1
(u + 1, {x/})

x
g(x, u)du
_
dx +
_
R
_
1a
a
g(x, u)dudx
which is the desired result.
2) Taking a = 1/2, and changing the variable in the second integral of (3.1) we get

_
R
_
_
1/2
0

1
(u, {x/})

x
g(x, u)du +
_
1/2
0

1
(1 u, {x/})

x
g(x, u)du
_
dx+
_
R
_
1/2
1/2
g(x, u)dudx
We recall here two basic analysis facts:
Integral of odd functions on a symmetric domain is 0
derivative of an even function is odd.
Then the third integral is 0, because the integral in u is 0 for a xed x. Then using the oddness
in u of g

_
R
_
1/2
0
[
1
(u, {x/})
1
(1 u, {x/})]

x
g(x, u)dudx
7

1
(u, v)
1
(1 u, v) =
_
1
[0,v]
(u), v < 1/2
1
[0,1v]
(u) v 1/2
Then the integral can be rewritten as

_
R
_
min(1{x/},{x/})
0

x
g(x, u)dudx.
Doing the usual change of variable x = k + v

kZ
_
1
0
_
min(1v,v)
0

x
g(k + v, u)dudx =
2

kZ
_
1/2
0
_
v
0

x
g(k + v, u)dudx+

kZ
_
1
1/2
_
1v
0

x
g(k + v, u)dudx
=
2

kZ
_
1/2
0
_
v
0

x
g(k + v, u)dudx+

kZ
_
1/2
0
_
v
0

x
g((k + 1) v, u)dudx
Since the sum in k goes from to we can change the index from k +1 to k. Then we can
use the oddness in x of

x
g(x, u) to see that each term of the sum cancels out.
3) This result can be trivially by plugging the chosen form for g into (3.1) and using the Fubini
theorem to separate the two integrals in x and u.
The interpretation of Proposition 3.1-3) is clear. The original value of a random variable
X is approximately independent form the rescaled discretization error
,a
(X), where the non-
independent part is proportional to . Then the discretization error is approximately independent
from the true value and distributed as an uniform random value on (a, 1 a).
Let us consider the concrete case of our measurements. Then the situation is a bit more
complicated, since we transform the discretized values X
{}
to get physically meaning values.
Moreover, usually the rounding-to-the-nearest is employed (a = 1/2).
Then we take g (x,
,a
(x))) = f
X
(x)h(x
{}
) = f
X
(x)h(x
,a
(x)), where h is a dieren-
tiable function dened on a compact.
Then (3.1) can be rewritten, plugging in the chosen form for g, as
E
X
[h(X
,1/2
(X))] =E
X
_
_
1/2
1/2
h(X u)du
_
+ E
X
_
_
1/2
1/2

1
(u, {X/})h

(X u)
_
+
_
R
_
1/2
1/2

1
(u, {x/})h(x u)

x
f(x, u)dudx.
If is small, then we can expand h(xu) = h(x)h

(x)u+o(), and computing the integrals

in u where is possible, we get
E[h(X
,a
(X))] E[h(X)] =E
_
_
1/2
1/2

1
(u, {X/})h

(X)du
_
+

_
R
_
1/2
1/2

1
(u, {x/})h(x)f

X
(x)dudx + o().
8
Taking the absolute value both members of the previous equation, using the fact that |
1
| 1
and the triangular inequality we get
|E[h(X
,a
(X))] E[h(X)] | E
_
|h

(X)|

+
_
R
|h(x)f

X
(x)|dx + o(). (3.5)
Equation (3.5) gives an estimate of the error committed in estimating the mean of h(X). In the
specic case of the n-th moment of turbulent dataset, we can take X to be the voltage, and
h(x) = f
n

(x).
Unfortunately this bound cannot be employed in the present form, since we dont know the
actual distribution of X. Let assume that X is bounded. Then let us denote the discretized
realization of X with X
{}
i
, i = 1, . . . , n. Then let dene the set of indices I = {j Z :
min
i
(X
{}
i
)/ j max
i
(X
{}
i
)/}. The discretized realization can assume only |I| = K
values x
i
= i, i I. We can now estimate the density f
X
(x
i
) with a histogram, with bin-size
and its bin centered in x
i
, i = 1, . . . , K. Let us denote that estimate with

f
i
.
Then the RHS of (3.5) can be estimated replacing the integral with a mid-point Riemann
sums

iI
|h

(x
i
)|

f
i
+
2

iI
|h(x
i
)

f

i
|dx, (3.6)
where

f

i
is a nite dierence approximation of the derivative f

X
(x
i
).
4 A concrete example
We shall apply our method to a atmospheric turbulence dataset, being recorded in the at the
Brookhaven National Laboratory. It is located in Upton, New York. As usual in the eld of
turbulence, only the meanow velocity has been considered in this experiment.
4.1 Brookhaven dataset
The dataset considered is the Brookhaven dataset: it is a high frequency dataset, recorded via
a hot wire anemometer; a full account of the data can be found in Drhuva (2000). Brookhaven
dataset consists of 20 10
6
data points sampled at 5 kHz (i.e. 5 10
3
points per second). The
acquisition process with this kind of technique was described in the previous section.
We will use this strategy on the Brookhaven dataset, in order to recover its true discretization
pattern. As stated in Drhuva (2000), the Brookhaven data were obtained using Kings law. For
this function, the derivatives employed in report here the derivatives up to order 3:
f

(f
1
(v)) =
2v
1n

k
0
+ k
1
v
n
k
1
n
f

(f
1
(v)) =
2v
1n
k
1
n
+
4
_
n
1
1
_
v
12n
(k
0
+ k
1
v
n
)
k
2
1
n
f

(f
1
(v)) =
12
_
n
1
1
_
v
12n

k
0
+ k
1
v
n
k
2
1
n
+
8
_
n
1
2
_ _
n
1
1
_
v
13n
(k
0
+ k
1
v
n
)
3/2
k
3
1
n
For the rst branch the behavior depends mainly by the rst derivative, which allows us to make
a guess on the parameter n, which gives the shape of the curve. For small values of v the curve
9
goes to zero, and for big values of v it grows somehow linearly, then we can suppose n (0, 1),
with an initial guess n
(0)
= 0.5.
Since the mean value of the windspeed was unfortunately subtracted from the Brookhaven
data, we have to consider, instead of the actual velocities v, a Reynolds-like decomposition
v(t) = u(t) + v
0
, t [0, T],
where v
0
is the unknown average windspeed. Since the derivatives depend in a nonlinear way on
the values of the windspeed, this information is important and it has to be recovered as well.
In Drhuva (2000), Table 1, for entry 3 (BNL) v
0
= 8.3 is reported, but it was calculated
on 4 10
7
values, while our dataset has "only" 2 10
7
datapoints. Two strategies are viable:
taking the average speed in Drhuva (2000) for real, or use it as a guess, increasing the numbers
of parameters to be tted by 1.
We tried both, getting similar parameters; it is very interesting to notice how a slight variation
in the value of v
0
causes a relatively better t, accordingly to the residuals listed in Table 1.
However, the really close estimation of average windspeed on only of the half dataset is, at least,
a good signal of the stationarity of this dataset.
Table 1: Non-linear least squares tting for Brookhaven dataset.
k
0
k
1
n V v
0
max(res) max(res/
(1)
v)

(0)
12 12 0.5 10 (2
12
1)
1
8.3 - -

(1)
13.0084 10.4190 0.5005 13.40 10
4
8.3 8.78 10
6
0.0051

(2)
12.9990 10.4449 0.5010 13.40 10
4
8.3 8.97 10
6
0.0052

(1)
13.0386 10.5953 0.5000 13.31 10
4
8.3115 9.87 10
9
3.23 10
6

(2)
13.0316 10.5653 0.4999 13.32 10
4
8.3120 1.05 10
8
3.21 10
6
Once we have recovered , we can proceed to get the voltage data, and compare them to the
windspeed data. In Figure 3 it is rather obvious that the discretization in the voltage data is
generating the unexpected behavior in the center of the histogram of the Brookhaven data.
From the voltage data we obtain that V = 0.0011, which is not that far from the one
estimated by the least squares tting. We do stress that the estimate V do not enter in Kings
law, but it is necessary, since it gives the scaling in the Taylor series. That is translated in
E = 0.0011 (2
12
1) 4.5V , which is in agreement with the voltage data since max
i,j
(|V
i
V
j
|) =
2.8763. That indicates that experimenters took a large, but reasonable voltage scale, to be able
to sample the whole signal, sacricing some accuracy. In Figure 6-f) we can see the derivative
of f

(2) plotted on the range assumed by V

{}
, which is not constant. Then the transformation,
although smooth, is rather non-linear.
4.2 Comparison between voltage and windspeed
Now we have voltage and windspeed, we can perform the standard analysis on both of them, in
order to understand how we can prot of the addictional knowledge of the sampling process. It
comes for free that the voltage (and therefore the windspeed) has to enjoy a rather strong form
of continuity, since a circuity fed with a discontinuous input will react anyway with a smoother
10
output. It comes as well from the physical limitations of the A/C converter that the voltage has
to take value in a compact of bounded measure.
Table 2: normalized moments comparison between V and v.
mean variance
3

4

5

6

7
V 1.54 10
8
1.87 10
5
0.62 31.48 143.61 1.8410
4
3.7610
5
v 1.22 10
7
9.62 10
4
0.64 25.93 82.37 4.6910
3
3.5510
4
A rst comparison between the two datasets can be performed looking at the normalized
moments. In general the voltage increments has higher normalized moments, that is, heavier
tails than the windspeed.
Barndor-Nielsen and Schmiegel claim that the Normal-Inverse Gaussian (NIG) distribution
ts well the distribution of the increments of the wind-speed of high frequency turbulent data.
We tried to t instead a Generalized Hyperbolic distribution (GH), which generalized the NIG
distribution, to the increments of both voltage and data, in order to compare the statistical
properties of the data. This class of distribution is very exible, because allows to model skewness
and semi-heavy tails.
This probability distribution has density
f(x|, , , , ) =

2
_
/2
e
(x)
_

2
+(x)
2

1
2
K

1
2
_

2
+ (x )
2
_

2K

_
_

_
where K

is the Bessel function of the second kind. R is a location parameter, > 0 accounts
for dispersion around the mean, > 0 and R are shape factors and || < take into account
asymmetry of the tails. The NIG distribution can be obtained setting = 1/2.
The tail behavior of this distribution is expressed by
f(x|, , , , ) |x|
1
exp(( + )x), x .
Then the tail behavior of this distribution are power law with an exponential tempering. This
is not quite in agreement with the current turbulence literature, which advocates tails of the
form e
a

x
b
, where a depends from which tail are we considering (positive or negative) and b is
around 0.5. We start using the method of moment (i.e. we found the parameters which match
the sample moments of the data, up to order 5) and then we used from this starting position the
Maximum-Likelihood method.
Looking at Table 3 and Figure 6 d)- e), we see that the Maximum-Likelihood estimation gives
a completely dierent (and qualitatively worse) tting respect the coarser method of moments.
The tting were performed on normalized data, i.e. we subtracted the mean and we divide by
the standard deviation before tting, in order to compare the estimates. What we can observe is
that the Method of Moment tends to give higher absolute values to and smaller to than the
Maximum Likelihood, therefore favoring the slower power-law decay than the exponential one.
As already concluded from the centered moments behaviour, the voltage has heavier tails
(the Method of Moments gives
V
<
v
).
11
Table 3: Parameter of the GH distribution for the increments of Brookhaven data (voltage and
windspeed).

V (MoM) -0.9797 0.2231 0.0224 0.6757 -0.0223
V (LL) -0.3884 0.5218 0.0478 0.3972 -0.0460
v (MoM) -0.5748 0.3508 0.0287 0.4182 -0.0285
v (LL) -0.3488 0.5227 0.0437 0.3622 -0.0421
5 Conclusion and to-dos
6 Acknowledgement
I would like to thank Roman Re for showing me how the sampling process works, giving me
some conrmation about physical concepts and intuitions. Furthermore I would like to thank Ole
Barndor-Nielsen and Jrgen Schmiegel for the Brookhaven dataset and for all the discussions
Moreover, I am thankful for fruitful discussions with my PhD supervisor Claudia Klppelberg.
References
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Delattre, S.: 1997, Estimation du coecient de diusion dun processus de diusion en pres-
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Delattre, S. and Jacod, J.: 1997, A central limit theorem for normalized functions of the incre-
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Drhuva, B. R.: 2000, An experimental study of high Reynolds number turbulence in the atmo-
sphere, PhD thesis, Yale University.
Kolmogorov, A. N.: 1941, The local structure of turbulence in incompressible viscous uid for
very large reynolds numbers, Dokl. Akad. Nauk. SSSR 30, 299303.
Kosulaje, P.: 1937, Sur la rpartition de la partie fractionnaire dune variable alatorie., Rec.
Math. (Mat. Sbornik) N.S. 2, 10171019.
Priestley, M. B.: 1981, Spectral Analysis and Time Series, Vol. 1, Academic Press, London.
Tropea, C., Yarin, A. L. and Foss, J. F. (eds): 2008, Handbook of experimental uid mechanics,
Springer, Berlin.
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(Mat. Sbornik) N.S. 4, 561562.
12
Zhang, L., Mykland, P. A. and At-Sahalia, Y.: 2005, A tale of two time scales: determining
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sociation 100(472), 13941411.
0.01 0.005 0 0.005 0.01
0
1000
2000
3000
4000
5000
6000
7000
a) Histogram of increments, voltage
V
0.08 0.06 0.04 0.02 0 0.02 0.04 0.06 0.08
0
500
1000
1500
b) Histogram of increments windspeed
v
50 40 30 20 10 0 10 20 30 40
10
7
10
6
10
5
10
4
10
3
10
2
10
1
10
0
d) Log-histogram increments and t, voltage
V /sd(V )


Loghist
LL estimation
MoM estimation
Standard normal
40 30 20 10 0 10 20 30 40 50
10
7
10
6
10
5
10
4
10
3
10
2
10
1
10
0
e) Log-histogram increments and t, windspeed
v/sd(v)


Loghist
LL estimation
MoM estimation
Standard normal
2 2.5 3 3.5 4 4.5 5 5.5 6 6.5 7
0
0.5
1
1.5
2
2.5
c) ESS scaling exponents for voltage and windspeed
n

(
n
)


Velocity exponents
Voltage exponents
K41 exponents
4.5 5 5.5 6 6.5 7 7.5 8
0
2
4
6
8
10
12
14
Vol tage [ V ]
f

(
2
) (
V
)
[
m
V

1
s

1
]
f ) Derivative of the King law
Figure 3: Statistics comparison between voltage and wind data. a)- b) Respectively, histogram
of the increments of the voltage and the windspeed. Only values between 3
_
E[(V )
2
] and
3
_
E[v]
2
are shown. c) Scaling exponent of the structure functions of order n = 2, . . . , 7,
calculated via the ESS. d)-e) Log-histogram of the increments with Generalized Hyperbolic tting
via Method of Moments and Log-Likelihood. f) Plot of the derivative of the King law over the
values assumed by the voltage.
13