Original title: Vícerozměrné extrémy
Translated title: Multivariate Extremes
Authors: Ivanková, Kristýna ; Kaňková, Vlasta (referee) ; Hlubinka, Daniel (advisor)
Document type: Master’s theses
Year: 2009
Language: eng
Abstract: This work considers various approaches for modelling multivariate extremal events. First we review theory in the univariate case| the Fisher-Tippett theorem and the generalized Pareto distribution. We proceed with an extension to the multivariate case using the spectral measure and point processes for modelling dependence between components, ending with a review of parametric dependence models and ways to t them to data. We compare these classical methods to a new semi-parametric conditional approach. Finally, we apply the discussed methods in a simulation and on a dataset, compare the results and highlight classes of problems that the various approaches are suitable to.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/18944

Permalink: http://www.nusl.cz/ntk/nusl-295489


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses