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Bayesian analysis of the extreme value of a time history
Reliability Engineering & System Safety, 1988Abstract This paper addresses the problem of estimating the peak factor of a stationary Gaussian process from the analysis of a single sample record of short duration. Successive extrema of the sample are ordered by decreasing magnitude and used to update the distribution of the maximum likelihood of the peak factor.
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Univariate Extreme Value Analysis
2016Abstract This chapter reviews the basics of univariate extreme value analysis. The generalized extreme value (GEV) distribution is introduced as the limit distribution of sample maxima with appropriate standardization. The domains of attraction are reviewed and illustrated numerically with simulation for distributions that have different tail behaviors.
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Application of extreme value theory to the analysis of a network simulation
ACM SIGSIM Simulation Digest, 1990In this paper we present an application of the extreme value theory to the results of a GPSS simulation of a network of queues which is not suitable to be modeled by a product form and, so, to be treated by operational analysis. The objective of this work is to estimate the finite buffer size of the queues such that packets (elements ...
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Extreme value analysis for capacity design
International Journal of Cloud Computing, 2018Szilárd Bozóki, András Pataricza
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Extreme Value Modeling and Risk Analysis
2016Univariate Extreme Value Analysis Dipak Dey, Dooti Roy, and Jun Yan Multivariate Extreme Value Analysis Dipak Dey, Yujing Jiang, and Jun Yan Univariate Extreme Value Mixture Modeling Carl Scarrott Threshold Selection in Extreme Value Analysis Frederico Caeiro and M. Ivette Gomes Threshold Modeling of Nonstationary Extremes Paul J.
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