Results 61 to 70 of about 239,604 (162)

Improved estimation of the extreme value index using related variables [PDF]

Extremes, 2018
Heavy tailed phenomena are naturally analyzed by extreme value statistics. A crucial step in such an analysis is the estimation of the extreme value index, which describes the tail heaviness of the underlying probability distribution. We consider the situation where we have next to the $n$ observations of interest another $n+m$ observations of one or ...
Hanan Ahmed, John H. J. Einmahl
openaire   +6 more sources

A New Class of Reduced-Bias Generalized Hill Estimators

Mathematics
The estimation of the extreme value index (EVI) is a crucial task in the field of statistics of extremes, as it provides valuable insights into the tail behavior of a distribution.
Lígia Henriques-Rodrigues, Frederico Caeiro, M. Ivette Gomes   +2 more
doaj   +1 more source

Channel-forming discharge based on the extreme value identification of sediment-carrying capacity index

Scientific Reports
Channel-forming discharge (D cf) is an important parameter in river management and reservoir flood regulation. Applying the methods for calculating D cf to reaches downstream reservoirs characterized by drastic changes in water and sediment conditions ...
Hua Ge, Lingling Zhu
doaj   +1 more source

Extremal behaviour in models of superposition of random variables

Revstat Statistical Journal, 2004
Let X(i) ={Xgi(n)}n≥1, i= 1, 2, be sequences of random variables, where {gi(n)}n≥1 are disjoint and strictly increasing sequences of integer numbers such that {g1(n)}n≥1 ∪ {g2(n)}n≥1 = N.
Luísa Pereira
doaj   +1 more source

The FORGEX method of rainfall growth estimation I: Review of requirement [PDF]

Hydrology and Earth System Sciences, 1999
A growth factor is the ratio of the T-year extreme value to an index extreme value such as the mean of annual maxima. Whereas a record length of ten or more years may suffice to estimate the index variable, it is generally necessary to blend data from ...
E. J. Stewart, E. J. Stewart, D. W. Reed, D. W. Reed, D. S. Faulkner, D. S. Faulkner, N. S. Reynard, N. S. Reynard   +7 more
doaj  

Modelling extreme risk of the financial index (J580) using the general Pareto distribution

Journal of Economic and Financial Sciences, 2019
Orientation: In light of the global financial instabilities, investors and risk analysts need extreme risk management tools to help them accurately monitor and reduce market exposure in an investment portfolio.
Owen Jakata, Delson Chikobvu
doaj   +1 more source

Modelling Financial Risk in the South African Stock Market: An Application of the Generalised Extreme Value Distribution (GEVD)

Econometric Research in Finance
This study analyses the return characteristics of the South African Industrial Index (J520) and South African Financial Index (J580) using the Generalized Extreme Value Distribution (GEVD) to estimate return levels, Value-at-Risk (VaR) and Expected ...
Owen Jakata, Delson Chikobvu
doaj   +1 more source

Bicyclic graphs with extremal values of PI index

Discrete Applied Mathematics, 2013
AbstractWe give sharp lower and upper bounds on the PI index of connected bicyclic graphs with constant number of vertices and characterize the case of equality for both bounds.
Vukićević, Žana Kovijanić, Stevanović, Dragan   +1 more
openaire   +1 more source

Mixed effects models for extreme value index regression

Communications in Statistics - Theory and Methods
Extreme value theory (EVT) provides an elegant mathematical tool for the statistical analysis of rare events. When data are collected from multiple population subgroups, because some subgroups may have less data available for extreme value analysis, a scientific interest of many researchers would be to improve the estimates obtained directly from each ...
Momoki, Koki, Yoshida, Takuma
openaire   +2 more sources

Perturbation-based Inference for Extreme Value Index

The extreme value index (EVI) characterizes the tail behavior of a distribution and is crucial for extreme value theory. Inference on the EVI is challenging due to data scarcity in the tail region. We propose a novel method for constructing confidence intervals for the EVI using synthetic exceedances generated via perturbation.
Tang, Yiwei, Wang, Judy Huixia, Li, Deyuan   +2 more
openaire   +2 more sources