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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" }