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On occurrence of extremal values in a time series with trend

Result description

We analyze the occurrence of extremes via the sequence of block maxima. First, a model of trend is selected, on this basis a Markov chain of new maxima occurrence and value is derived. Application deals with the analysis of development of the exchange rate of Euro to CzK.

Keywords

time seriestrend modelblock maximaprediction

The result's identifiers

Alternative languages

  • Result language

    angličtina

  • Original language name

    On occurrence of extremal values in a time series with trend

  • Original language description

    We analyze the occurrence of extremes via the sequence of block maxima. First, a model of trend is selected, on this basis a Markov chain of new maxima occurrence and value is derived. Application deals with the analysis of development of the exchange rate of Euro to CzK.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

Others

  • Publication year

    2011

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    International Conference Presentatin of Mathematics ICPM '11

  • ISBN

    978-80-7372-773-4

  • ISSN

  • e-ISSN

  • Number of pages

    8

  • Pages from-to

    151-158

  • Publisher name

    Technická univerzita v Liberci

  • Place of publication

    Liberec

  • Event location

    Technická univerzita v Liberci

  • Event date

    Jan 1, 2011

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article