Search for dissertations about: "multivariate extreme value theory"

Found 4 swedish dissertations containing the words multivariate extreme value theory.

  1. 1. Characterisation and Some Statistical Aspects of Univariate and Multivariate Generalised Pareto Distributions

    University dissertation from Göteborg : Chalmers University of Technology

    Author : Nader Tajvidi; Göteborgs universitet.; Gothenburg University.; [1996]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; generalised Pareto distribution; multivariate extreme value theory; multivariate Pareto distribution; small sample properties; Bartlett s correction; maximum likelihood; statistical computations; simulation AMS 1991 subject classification: 62F11; 62E20; 60F17; 65U05; 62E20; maximum likelihood; simulation AMS 1991 subject classification: 62F11; small sample properties; 60F17; multivariate extreme value theory; statistical computations; Bartlett s correction; multivariate Pareto distribution; 65U05;

    Abstract : Extreme value theory is about the distributions of very large or very small values in a time series or stochastic process. This has numerous applications connected with environmental science, civil engineering, materials science and insurance. A rather recent approach for modelling extreme events is the so called peak over threshold (POT) method. READ MORE

  2. 2. Dependence Structures in Stable Mixture Models with an Application to Extreme Precipitation

    University dissertation from Göteborg : Chalmers University of Technology

    Author : Anna Rudvik; Göteborgs universitet.; Gothenburg University.; [2012]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; multivariate extreme value theory; mixture model; stable variable; dependence measure; mixture model; dependence measure; stable variable;

    Abstract : In this thesis we study a class of mixture models obtained by mixing extreme value distributions over a positive stable distribution. This depicts a group structure, where the stable distribution is a group specific quantity and a function of the surroundings.The stable mixture models possess a number of interesting characteristics. READ MORE

  3. 3. Topics on fractional Brownian motion and regular variation for stochastic processes

    University dissertation from Stockholm : Matematik

    Author : Henrik Hult; [2003]
    Keywords : stochastic processes; regular variation; extreme value theory; fractional Brownian motion; parameter estimation;

    Abstract : The first part of this thesis studies tail probabilities forelliptical distributions and probabilities of extreme eventsfor multivariate stochastic processes. It is assumed that thetails of the probability distributions satisfy a regularvariation condition. READ MORE

  4. 4. Essays on Time Series Analysis With Applications to Financial Econometrics

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Daniel Preve; Rolf Larsson; Bent Nielsen; [2008]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; SOCIAL SCIENCES Statistics; computer and systems science Statistics; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap Statistik;

    Abstract : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). READ MORE