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Estimation of Extreme Values by the Average Conditional Exceedance Rate Method
Joint Authors
Source
Journal of Probability and Statistics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-03-04
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
This paper details a method for extreme value prediction on the basis of a sampled time series.
The method is specifically designed to account for statistical dependence between the sampled data points in a precise manner.
In fact, if properly used, the new method will provide statistical estimates of the exact extreme value distribution provided by the data in most cases of practical interest.
It avoids the problem of having to decluster the data to ensure independence, which is a requisite component in the application of, for example, the standard peaks-over-threshold method.
The proposed method also targets the use of subasymptotic data to improve prediction accuracy.
The method will be demonstrated by application to both synthetic and real data.
From a practical point of view, it seems to perform better than the POT and block extremes methods, and, with an appropriate modification, it is directly applicable to nonstationary time series.
American Psychological Association (APA)
Naess, A.& Gaidai, O.& Karpa, O.. 2013. Estimation of Extreme Values by the Average Conditional Exceedance Rate Method. Journal of Probability and Statistics،Vol. 2013, no. 2013, pp.1-15.
https://search.emarefa.net/detail/BIM-498898
Modern Language Association (MLA)
Naess, A.…[et al.]. Estimation of Extreme Values by the Average Conditional Exceedance Rate Method. Journal of Probability and Statistics No. 2013 (2013), pp.1-15.
https://search.emarefa.net/detail/BIM-498898
American Medical Association (AMA)
Naess, A.& Gaidai, O.& Karpa, O.. Estimation of Extreme Values by the Average Conditional Exceedance Rate Method. Journal of Probability and Statistics. 2013. Vol. 2013, no. 2013, pp.1-15.
https://search.emarefa.net/detail/BIM-498898
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-498898