Extreme value estimation for correlated observations

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26210%2F14%3APU109671" target="_blank" >RIV/00216305:26210/14:PU109671 - isvavai.cz</a>
Alternative codes found
RIV/60162694:G42__/14:00525864
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Extreme value estimation for correlated observations
Original language description
Statistical modeling of extreme events is the object of interest in many application areas. When estimating such rare events from a time series, extreme value theory is commonly used. In that case, series with independent members are required. However, the assumption of independence is not satisfied in many situations. There are two approaches (block maxima, peaks-over-threshold) which result in series with independent members, but the length of the series is substantially reduced. In this paper, stationary series with short-time dependence described by the extremal index theta is considered, and two estimators of theta are introduced. Behavior of the estimators is assessed using simulations. The described methods are used in an analysis of real hydrological data, and compared with classical peaks-over-threshold approach.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mendel 2014 20th International Conference of Soft Computing
ISBN
978-80-214-4984-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
359-364
Publisher name
Brno University of Technology, Faculty of Mechanical Engineering, Institute of Automation and Computer Science
Place of publication
Brno, Czech Republic
Event location
Brno University of Technology
Event date
Jun 25, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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