Institute of Information Theory and Automation

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Bibliography

Conference Paper (international conference)

Analysis of occurrence of extremes in a time series with a trend

Volf Petr

: Proccedengs of the 29th International Conference on Mathematical Methods in Economics 2011, p. 751-756 , Eds: Dlouhý M., Skočdopolová Veronika

: 29th International Conference on Mathematical Methods in Economics 2011, (Jánská Dolina, SK, 06.09.2011-09.09.2011)

: CEZ:AV0Z10750506

: GAP402/10/0956, GA ČR

: extremal value, regression, prediction

: http://library.utia.cas.cz/separaty/2011/SI/volf-analysis of occurrence of extremes in a time series with a trend.pdf

(eng): 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.

: BB

2019-01-07 08:39