Extreme Value Estimation under the Presence of Short-Time Dependence

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26210%2F14%3APU110118" target="_blank" >RIV/00216305:26210/14:PU110118 - isvavai.cz</a>
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 under the Presence of Short-Time Dependence
Original language description
Study of extremes becomes crucial in many application areas, partially due to their harmful effects on a system reliability. For the purpose of prediction and frequency estimation of an extreme events, the extreme value theory is usually applied. However, the commonly used estimating methods (e.g. maximum likelihood method) are based on an independent observations. The presence of a serial dependence requires a careful investigation. With increasing dependence the extremes show higher tendency to cluster, which can significantly devaluate the analysis if not taken into account. The treatment with dependence is based either on a declustering techniques, which filter out the presence of dependence, or on its proper identification. The first one usually leads to significant reduction of number of observations and thus to a loss of information. The objective of the contribution is to discuss the latter approach, accompanied with estimation of so-called extremal index [1], a measure of extr
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

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