About: Extreme value estimation for correlated observations

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	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. 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. (en)
Title	Extreme value estimation for correlated observations Extreme value estimation for correlated observations (en)
skos:prefLabel	Extreme value estimation for correlated observations Extreme value estimation for correlated observations (en)
skos:notation	RIV/00216305:26210/14:PU109671!RIV15-MSM-26210___
http://linked.open...avai/riv/aktivita	I S
http://linked.open...avai/riv/aktivity	I, S
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Holešovský, Jan Fusek, Michal
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoké učení technické v Brně / Fakulta strojního inženýrství
http://linked.open...dnocenehoVysledku	16257
http://linked.open...ai/riv/idVysledku	RIV/00216305:26210/14:PU109671
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	extreme value distribution, extremal index, peaks over threshold, stationary process (en)
http://linked.open.../riv/klicoveSlovo	peaks over threshold extreme value distribution stationary process extremal index
http://linked.open...ontrolniKodProRIV	[B048E61D0530]
http://linked.open...v/mistoKonaniAkce	Brno University of Technology
http://linked.open...i/riv/mistoVydani	Brno, Czech Republic
http://linked.open...i/riv/nazevZdroje	Mendel 2014 20th International Conference of Soft Computing
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Fusek, Michal Michálek, Jaroslav Holešovský, Jan
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2014-06-25 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoké učení technické v Brně. Fakulta strojního inženýrství. Ústav automatizace a informatiky
https://schema.org/isbn	978-80-214-4984-8
http://localhost/t...ganizacniJednotka	26210

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