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Found 5 swedish dissertations matching the above criteria.
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1. Characterisation and Some Statistical Aspects of Univariate and Multivariate Generalised Pareto Distributions
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. READ MORE
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2. Dependence Structures in Stable Mixture Models with an Application to Extreme Precipitation
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
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3. Topics on fractional Brownian motion and regular variation for stochastic processes
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
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4. Change point detection with respect to variance
Abstract : This thesis examines a simple method for detecting a change with respect to the variance in a sequence of independent normally distributed observations with a constant mean. The method filters out observations with extreme values and divides the sequence into equally large subsequences. READ MORE
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5. Essays on Time Series Analysis : With Applications to Financial Econometrics
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