Extreme Value Analysis of Statistically Independent Stochastic Variables
نویسندگان
چکیده
منابع مشابه
Generalised extreme value statistics and sum of correlated variables
We show that generalised extreme value statistics –the statistics of the k largest value among a large set of random variables– can be mapped onto a problem of random sums. This allows us to identify classes of non-identical and (generally) correlated random variables with a sum distributed according to one of the three (k-dependent) asymptotic distributions of extreme value statistics, namely ...
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ژورنال
عنوان ژورنال: Journal of Ocean Engineering and Technology
سال: 2019
ISSN: 1225-0767,2287-6715
DOI: 10.26748/ksoe.2018.093