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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Analysis of occurrence of extremes in a time series with a trend
 Volf, Petr
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.
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