This thesis focuses on stochastic processes and some of their properties are investigated which are necessary to determine the tools, the extremal index and the extremogram. Both mathematical tools measure extremal dependency within random time series. Two different models are introduced and related properties are discussed. The probability function of the Agent based model is surveyed explicitly and strong stationarity is proven. Data sets for both processes are simulated and clustering of the data is investigated with two different methods. Finally an estimation of the extremogram is used to interpret dependency of extremes within the data.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-24735 |
| Date | January 2013 |
| Creators | Aghababa, Somayeh |
| Publisher | Linnéuniversitetet, Institutionen för matematik (MA) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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