Sökning: "multivariate extreme value theory"

Hittade 5 avhandlingar innehållade orden multivariate extreme value theory.

1. 1. Characterisation and Some Statistical Aspects of Univariate and Multivariate Generalised Pareto Distributions

   Författare :Nader Tajvidi; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; generalised Pareto distribution; multivariate extreme value theory; multivariate Pareto distribution; small sample properties; Bartlett s correction; maximum likelihood; statistical computations; simulation AMS 1991 subject classification: 62F11; 62E20; 60F17; 65U05; 62E20;

   Sammanfattning : Extreme value theory is about the distributions of very large or very small values in a time series or stochastic process. This has numerous applications connected with environmental science, civil engineering, materials science and insurance. LÄS MER

3. 2. Dependence Structures in Stable Mixture Models with an Application to Extreme Precipitation

   Författare :Anna Rudvik; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; multivariate extreme value theory; mixture model; stable variable; dependence measure; mixture model;

   Sammanfattning : In this thesis we study a class of mixture models obtained by mixing extreme value distributions over a positive stable distribution. This depicts a group structure, where the stable distribution is a group specific quantity and a function of the surroundings. The stable mixture models possess a number of interesting characteristics. LÄS MER

4. 3. Topics on fractional Brownian motion and regular variation for stochastic processes

   Författare :Henrik Hult; KTH; []
   Nyckelord :stochastic processes; regular variation; extreme value theory; fractional Brownian motion; parameter estimation;

   Sammanfattning : The first part of this thesis studies tail probabilities forelliptical distributions and probabilities of extreme eventsfor multivariate stochastic processes. It is assumed that thetails of the probability distributions satisfy a regularvariation condition. LÄS MER

5. 4. Change point detection with respect to variance

   Författare :Elias Erdtman; Martin Singull; Dietrich von Rosen; Nader Tajvidi; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis examines a simple method for detecting a change with respect to the variance in a sequence of independent normally distributed observations with a constant mean. The method filters out observations with extreme values and divides the sequence into equally large subsequences. LÄS MER

7. 5. Essays on Time Series Analysis : With Applications to Financial Econometrics

   Författare :Daniel Preve; Rolf Larsson; Bent Nielsen; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; Statistics; Statistik;

   Sammanfattning : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). LÄS MER