Sensitivity assessment of extremal index maxima estimates in the estimation of extreme values for stationary time series

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Sensitivity assessment of extremal index maxima estimates in the estimation of extreme values for stationary time series

Popis výsledku v původním jazyce

Extremal index is the primary measure of local dependence of extreme values, and plays thus an important role in extreme value estimation for stationary processes. The maxima estimators are often preferred in practical situations. These estimators are based on properties of the block maxima asymptotically characterized by the Generalized extreme value distribution. In contrast to the other methods, the maxima estimators gain advantage in stability to the choice of auxiliary parameters. Still the main part of maxima methods is selection of a proper approximation to marginal distribution of the underlying process. Although the suitability of the approximation may significantly affect the estimation quality, to the effect of available approaches has not been paid a great interest in the literature. The aim of this contribution is the comparison of available sampling schemes and the assessment of sensitivity of existing maxima estimates of the extremal index.

Název v anglickém jazyce

Sensitivity assessment of extremal index maxima estimates in the estimation of extreme values for stationary time series

Popis výsledku anglicky

Extremal index is the primary measure of local dependence of extreme values, and plays thus an important role in extreme value estimation for stationary processes. The maxima estimators are often preferred in practical situations. These estimators are based on properties of the block maxima asymptotically characterized by the Generalized extreme value distribution. In contrast to the other methods, the maxima estimators gain advantage in stability to the choice of auxiliary parameters. Still the main part of maxima methods is selection of a proper approximation to marginal distribution of the underlying process. Although the suitability of the approximation may significantly affect the estimation quality, to the effect of available approaches has not been paid a great interest in the literature. The aim of this contribution is the comparison of available sampling schemes and the assessment of sensitivity of existing maxima estimates of the extremal index.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

Matematika, informační technologie a aplikované vědy, MITAV 2017

ISBN

978-80-7231-417-1

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

1-6

Název nakladatele

Univerzita obrany

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

15. 6. 2017

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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