| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0364201 |
| utime |
20240103195523.2 |
| mtime |
20110926235959.9 |
| WOS |
000309074600125 |
| title
(primary) (eng) |
Analysis of occurrence of extremes in a time series with a trend |
| specification |
| page_count |
6 s. |
| media_type |
CD ROM |
|
| serial |
| ARLID |
cav_un_epca*0364200 |
| ISBN |
978-80-7431-059-1 |
| title
|
Proccedengs of the 29th International Conference on Mathematical Methods in Economics 2011 |
| page_num |
751-756 |
| publisher |
| place |
Praha |
| name |
Professional Publishing Praha |
| year |
2011 |
|
| editor |
|
| editor |
| name1 |
Skočdopolová |
| name2 |
Veronika |
|
|
| keyword |
extremal value |
| keyword |
regression |
| keyword |
prediction |
| author
(primary) |
| ARLID |
cav_un_auth*0101227 |
| name1 |
Volf |
| name2 |
Petr |
| full_dept (cz) |
Stochastická informatika |
| full_dept (eng) |
Department of Stochastic Informatics |
| department (cz) |
SI |
| department (eng) |
SI |
| institution |
UTIA-B |
| full_dept |
Department of Stochastic Informatics |
| garant |
G |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/10/0956 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263482 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(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. |
| action |
| ARLID |
cav_un_auth*0274323 |
| name |
29th International Conference on Mathematical Methods in Economics 2011 |
| place |
Jánská Dolina |
| dates |
06.09.2011-09.09.2011 |
| country |
SK |
|
| reportyear |
2012 |
| RIV |
BB |
| num_of_auth |
1 |
| permalink |
http://hdl.handle.net/11104/0199742 |
| arlyear |
2011 |
| mrcbU34 |
000309074600125 WOS |
| mrcbU63 |
cav_un_epca*0364200 Proccedengs of the 29th International Conference on Mathematical Methods in Economics 2011 978-80-7431-059-1 751 756 Praha Professional Publishing Praha 2011 |
| mrcbU67 |
Dlouhý M. 340 |
| mrcbU67 |
Skočdopolová Veronika 340 |
|