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Analysis of occurrence of extremes in a time series with a trend
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SYSNO ASEP 0364201 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Analysis of occurrence of extremes in a time series with a trend Author(s) Volf, Petr (UTIA-B) RID, ORCID Number of authors 1 Source Title Proccedengs of the 29th International Conference on Mathematical Methods in Economics 2011. - Praha : Professional Publishing Praha, 2011 / Dlouhý M. ; Skočdopolová Veronika - ISBN 978-80-7431-059-1 Pages s. 751-756 Number of pages 6 s. Publication form CD ROM - CD ROM Action 29th International Conference on Mathematical Methods in Economics 2011 Event date 06.09.2011-09.09.2011 VEvent location Jánská Dolina Country SK - Slovakia Event type EUR Language eng - English Country CZ - Czech Republic Keywords extremal value ; regression ; prediction Subject RIV BB - Applied Statistics, Operational Research R&D Projects GAP402/10/0956 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000309074600125 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2012
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