Extreme value estimation for correlated observations

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26210%2F14%3APU109671" target="_blank" >RIV/00216305:26210/14:PU109671 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/60162694:G42__/14:00525864

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Extreme value estimation for correlated observations

Popis výsledku v původním jazyce

Statistical modeling of extreme events is the object of interest in many application areas. When estimating such rare events from a time series, extreme value theory is commonly used. In that case, series with independent members are required. However, the assumption of independence is not satisfied in many situations. There are two approaches (block maxima, peaks-over-threshold) which result in series with independent members, but the length of the series is substantially reduced. In this paper, stationary series with short-time dependence described by the extremal index theta is considered, and two estimators of theta are introduced. Behavior of the estimators is assessed using simulations. The described methods are used in an analysis of real hydrological data, and compared with classical peaks-over-threshold approach.

Název v anglickém jazyce

Extreme value estimation for correlated observations

Popis výsledku anglicky

Statistical modeling of extreme events is the object of interest in many application areas. When estimating such rare events from a time series, extreme value theory is commonly used. In that case, series with independent members are required. However, the assumption of independence is not satisfied in many situations. There are two approaches (block maxima, peaks-over-threshold) which result in series with independent members, but the length of the series is substantially reduced. In this paper, stationary series with short-time dependence described by the extremal index theta is considered, and two estimators of theta are introduced. Behavior of the estimators is assessed using simulations. The described methods are used in an analysis of real hydrological data, and compared with classical peaks-over-threshold approach.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mendel 2014 20th International Conference of Soft Computing

ISBN

978-80-214-4984-8

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

359-364

Název nakladatele

Brno University of Technology, Faculty of Mechanical Engineering, Institute of Automation and Computer Science

Místo vydání

Brno, Czech Republic

Místo konání akce

Brno University of Technology

Datum konání akce

25. 6. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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