Extreme value distributions of observation recurrences
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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A new class of bivariate distributions is introduced and studied, which encompasses Archimedean copulas and extreme value distributions as special cases. Its dependence structure is described, its maximum and minimum attractors are determined, and an algorithm is given for generating observations from any member of this class. It is also shown how it is possible to construct distributions in th...
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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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ژورنال
عنوان ژورنال: Nonlinearity
سال: 2020
ISSN: 0951-7715,1361-6544
DOI: 10.1088/1361-6544/abaff1