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Analysis of extremal behavior of meteorological series
The paper deals with the problem of multivariate quantiles estimation. The method suggested by Joe et al. (1992), which is based on an approximation of tails of extreme value distributions, was applied to estimate ...
BB - Aplikovaná statistika, operační výzkum
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
Modeling multivariate extremes of precipitation series in northern Moravia
Four trivariate models were considered to model tail dependence among daily precipitation amounts measured at different meteorological stations. The models were applied to estimate the probability that daily precipitations at several stations exceed ...
BB - Aplikovaná statistika, operační výzkum
- 2009 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
The Extreme Value Theory and Copulas as a Tool to Measure Market Risk
empirical distribution to capture small risks and the parametric Extreme Value TheoryAssessing the extreme events is crucial in financial risk management. All risk events scenarios. We illustrate a multivariat...
AH - Ekonomie
- 2012 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Evaluation of a stochastic weather generator in simulating univariate and multivariate climate extremes in different climate zones across Europe
as multivariate extremes with focus on extremes related to the non-normally distributed to simulate climate extremes – especially multivariate extremes – is largely unexplored show that ...
Meteorology and atmospheric sciences
- 2021 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
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Applications of Extreme Value Theory
Basic themes of document: Gumbel distribution; extrem value theoryWeibull distributions...
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- D
Rok uplatnění
D - Stať ve sborníku
Comparison Value at Risk with Extreme Value Theory
and Student distribution is explained and subsequently Extreme Value Theory. There are estimated value of given probability distribution and Extreme Value Theory. The data at Risk method...
AH - Ekonomie
- 2013 •
- D
Rok uplatnění
D - Stať ve sborníku
Estimation of Extreme Value Index
Main topics of the document: generalized extreme value distribution; sample maximum; Gumbel distribution; Hill estimator; Pickands estimator; conditional distribution......
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- D
Rok uplatnění
D - Stať ve sborníku
Limiting Probability Distribution of Random Sample Maximum
Basic themes of document: Gumbel distribution; extreme value distribution; quantile function...
BB - Aplikovaná statistika, operační výzkum
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
EVDgraph 1.0
Program in Matlab which is intended for graphical representation and analysis of distributions from the domain of attraction of extreme value distributions....
BB - Aplikovaná statistika, operační výzkum
- 2010 •
- R
Rok uplatnění
R - Software
Determination of Value at Risk via Extreme Value Theory
Value at Risk and Expected Shortfall, under assumption of traditional distribution and via the Extreme Value Theory within Solvency II, ie. that the VaR Extreme Value Theory and its version of the...
AH - Ekonomie
- 2011 •
- D
Rok uplatnění
D - Stať ve sborníku
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