Discussion on “Plotting positions for fitting distributions and extreme value analysis”
نویسندگان
چکیده
منابع مشابه
Extreme Value Distributions
Extreme Value distributions arise as limiting distributions for maximums or minimums (extreme values) of a sample of independent, identically distributed random variables, as the sample size increases. Extreme Value Theory (EVT) is the theory of modelling and measuring events which occur with very small probability. This implies its usefulness in risk modelling as risky events per definition ha...
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We consider the problem of small sample inference for the generalised extreme value distribution. In particular, we show the existence of approximate and exact ancillary statistics for this distribution and that small sample likelihood based inference is greatly improved by conditioning on these statistics. Ignoring the ancillary statistics in inference can have severe consequences in some stan...
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We show that all multivariate Extreme Value distributions, which are the possible weak limits of the K largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through exact expressions for its density and distribution functions. We also study measures of dependence, we obtain a weak convergence result and we propose a simulation...
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In the classical theorems of extreme value theory the limits of suitably rescaled maxima of sequences of independent, identically distributed random variables are studied. The vast majority of the literature on the subject deals with affine normalization. We argue that more general normalizations are natural from a mathematical and physical point of view and work them out. The problem is approa...
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This note is concerned with joint probability distributions whose one-dimensional marginal distributions are Extreme Value Type 1 (EV1); i.e., Prob(Uj # uj) = exp(-exp(:(uj-vj)), where the vj are location parameters and : is a common scale factor. Call these Generalized Extreme Value (GEV) distributions. GEV distributions have application in the study of discrete choice behavior, and were initi...
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ژورنال
عنوان ژورنال: Canadian Journal of Civil Engineering
سال: 2013
ISSN: 0315-1468,1208-6029
DOI: 10.1139/cjce-2013-0279