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

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    0364201 - ÚTIA 2012 RIV CZ eng C - Conference Paper (international conference)
    Volf, Petr
    Analysis of occurrence of extremes in a time series with a trend.
    Proccedengs of the 29th International Conference on Mathematical Methods in Economics 2011. Praha: Professional Publishing Praha, 2011 - (Dlouhý, M.; Skočdopolová, V.), s. 751-756. ISBN 978-80-7431-059-1.
    [29th International Conference on Mathematical Methods in Economics 2011. Jánská Dolina (SK), 06.09.2011-09.09.2011]
    R&D Projects: GA ČR GAP402/10/0956
    Institutional research plan: CEZ:AV0Z10750506
    Keywords : extremal value * regression * prediction
    Subject RIV: BB - Applied Statistics, Operational Research
    http://library.utia.cas.cz/separaty/2011/SI/volf-analysis of occurrence of extremes in a time series with a trend.pdf

    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 regression model 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 the sample representing the series of block maxima we obtain the rediction of their future behavior.
    Permanent Link: http://hdl.handle.net/11104/0199742

     
     
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