Search for dissertations about: "simulation AMS 1991 subject classification: 62F11"

Found 1 swedish dissertation containing the words simulation AMS 1991 subject classification: 62F11.

  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