The concern of this diploma thesis is extreme value distributions. The first part formulates and proves the limit theorem for distribution of maximum. Further there are described basic properties of class of extreme value distributions. The key role of this thesis is on non-parametric estimations of extreme value index. Primarily, Hill and moment estimator are derived, for which is, based on the results of mathematical analysis, suggested an alternative choice of optimal sample fraction using a bootstrap based method. The estimators of extreme value index are compared based on simulations from proper chosen distributions, being close to distribution of given rain-fall data series. This time series is recommended a suitable estimator and suggested choice of optimal sample fraction, which belongs to the most difficult task in the area of extreme value theory.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:230947 |
| Date | January 2013 |
| Creators | Blachut, Vít |
| Contributors | Popela, Pavel, Michálek, Jaroslav |
| Publisher | Vysoké učení technické v Brně. Fakulta strojního inženýrství |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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