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VOŘECHOVSKÝ, M.
Original Title
Stabilita a konvergence numerických metod při simulaci extrémních hodnot rozdělení
English Title
Stability and convergence of numerical simulation methods for simulation of extreme values
Type
conference paper
Language
Czech
Original Abstract
This study presents numerical assessment of several simulation techniques with focus on their ability to estimate extreme value statistics. Four methods are compared. The main attention is devoted to Latin Hypercube Sampling as a representative of small-sample simulation technique. The effect of correlation control is highlighted. Numerical studies are performed with example of known analytical solution. The studies presents convergence of results with increasing number of simulations so that the immediate result is a hint about optimal choice of this important value.
Key words in English
extreme value theory, Latin Hypercube Sampling, Monte Carlo
Authors
RIV year
2004
Released
6. 7. 2004
Publisher
VUT v Brně
Location
Brno
ISBN
80-214-2718-3
Book
PPK 2004 PRAVDĚPODOBNOST PORUŠOVÁNÍ KONSTRUKCÍ
Pages from
77
Pages to
84
Pages count
8
BibTex
@inproceedings{BUT12271, author="Miroslav {Vořechovský}", title="Stabilita a konvergence numerických metod při simulaci extrémních hodnot rozdělení", booktitle="PPK 2004 PRAVDĚPODOBNOST PORUŠOVÁNÍ KONSTRUKCÍ", year="2004", pages="8", publisher="VUT v Brně", address="Brno", isbn="80-214-2718-3" }