Original title: Analysis of occurrence of extremes in a time series with a trend
Authors: Volf, Petr
Document type: Papers
Conference/Event: 29th International Conference on Mathematical Methods in Economics 2011, Jánská Dolina (SK), 2011-09-06 / 2011-09-09
Year: 2011
Language: eng
Abstract: 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.
Keywords: extremal value; prediction; regression
Project no.: CEZ:AV0Z10750506 (CEP), GAP402/10/0956 (CEP)
Funding provider: GA ČR
Host item entry: Proccedengs of the 29th International Conference on Mathematical Methods in Economics 2011, ISBN 978-80-7431-059-1

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2011/SI/volf-analysis of occurrence of extremes in a time series with a trend.pdf
Original record: http://hdl.handle.net/11104/0199742

Permalink: http://www.nusl.cz/ntk/nusl-55931


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