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Description
  • 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.
  • 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. (en)
Title
  • Analysis of occurrence of extremes in a time series with a trend
  • Analysis of occurrence of extremes in a time series with a trend (en)
skos:prefLabel
  • Analysis of occurrence of extremes in a time series with a trend
  • Analysis of occurrence of extremes in a time series with a trend (en)
skos:notation
  • RIV/67985556:_____/11:00364201!RIV12-AV0-67985556
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GAP402/10/0956), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 185706
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/11:00364201
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • extremal value; regression; prediction (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [BCB27CD7E17F]
http://linked.open...v/mistoKonaniAkce
  • Jánská Dolina
http://linked.open...i/riv/mistoVydani
  • Praha
http://linked.open...i/riv/nazevZdroje
  • Proccedengs of the 29th International Conference on Mathematical Methods in Economics 2011
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Volf, Petr
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
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  • Professional Publishing Praha
https://schema.org/isbn
  • 978-80-7431-059-1
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