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
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
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
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e-ISSN
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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
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Basic information
Result type
D - Article in proceedings
CEP
BB - Applied statistics, operational research
Year of implementation
2011