Detail publikace

Extreme value estimation for correlated observations

HOLEŠOVSKÝ, J. FUSEK, M. MICHÁLEK, J.

Originální název

Extreme value estimation for correlated observations

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

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.

Klíčová slova

extreme value distribution, extremal index, peaks over threshold, stationary process

Autoři

HOLEŠOVSKÝ, J.; FUSEK, M.; MICHÁLEK, J.

Rok RIV

2014

Vydáno

25. 6. 2014

Nakladatel

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

Místo

Brno, Czech Republic

ISBN

978-80-214-4984-8

Kniha

Mendel 2014 20th International Conference of Soft Computing

ISSN

1803-3814

Periodikum

Mendel Journal series

Stát

Česká republika

Strany od

359

Strany do

364

Strany počet

6

BibTex

@inproceedings{BUT108396,
  author="Jan {Holešovský} and Michal {Fusek} and Jaroslav {Michálek}",
  title="Extreme value estimation for correlated observations",
  booktitle="Mendel 2014 20th International Conference of Soft Computing",
  year="2014",
  journal="Mendel Journal series",
  pages="359--364",
  publisher="Brno University of Technology, Faculty of Mechanical Engineering, Institute of Automation and Computer Science",
  address="Brno, Czech Republic",
  isbn="978-80-214-4984-8",
  issn="1803-3814"
}