Analysis of occurrence of extremes in a time series with a trend

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F11%3A00364201" target="_blank" >RIV/67985556:_____/11:00364201 - 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
Analysis of occurrence of extremes in a time series with a trend
Original language description
We consider a random series of values and are interested in the analysis and modeling the occurrence of extremes. One of approaches is the analysis of sequence of block maxima. As we assume that the series has a trend, we first select a proper regressionmodel for the block maxima development. From it, a Markov chain of the sequence of extremes is derived. As the transition probabilities of the chain are not tractable analytically, we use the Monte Carlo generation of the chain behavior. Then, from thesample representing the series of block maxima we obtain the rediction of their future behavior.
Czech name
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Czech description
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Project
<a href="/en/project/GAP402%2F10%2F0956" target="_blank" >GAP402/10/0956: Stochastic Economic Models under Uncertainty: Development over Time and Optimization</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proccedengs of the 29th International Conference on Mathematical Methods in Economics 2011
ISBN
978-80-7431-059-1
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
751-756
Publisher name
Professional Publishing Praha
Place of publication
Praha
Event location
Jánská Dolina
Event date
Sep 6, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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