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Metody modelování a statistické analýzy procesu extremálních hodnot / Methods of modelling and statistical analysis of an extremal value process

In the present work we deal with the problem of etremal value of time series, especially of maxima. We study times and values of maximum by an approach of point process and we model distribution of extremal values by statistical methods. We estimate parameters of distribution using different methods, namely graphical methods of data analysis and subsequently we test the estimated distribution by tests of goodness of fit. We study the stationary case and also the cases with a trend. In connection with distribution of excesess and exceedances over a threshold we deal with generalized Pareto distribution.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:313585
Date January 2012
CreatorsJelenová, Klára
ContributorsVolf, Petr, Branda, Martin
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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