8354

Автор(ов): 

1

Параметры публикации
Тип публикации: 
Тезисы доклада
Название: 
ESTIMATION OF THE IMPACT OF CLUSTERS OF EXTREME VALUES
Наименование конференции: 
International Workshop in Recent Achievements on the Study of Extreme Events (VW-Workshop)
Наименование источника: 
Proceedings of the International Workshop in Recent Achievements on the Study of Extreme Events (VW-Workshop, Potsdam, 2010)
Город: 
Potsdam
Издательство: 
Potsdam University
Год издания: 
2010
Страницы: 
43
Аннотация
In practical applications it is important to evaluate the impact of clusters of observations caused by the dependencein time series at the estimation of statistical indices. The clusters contain consequent exceedances of time series overa threshold separated by gaps with consequent non-exceedances. We prove asymptotic discrete distributions of the numberof events of interest arising between two clustersof some process over a threshold (random variable 'T') as well as the number of exceedances of the process in the cluster (random variable 'C').
Библиографическая ссылка: 
Маркович Н.М. ESTIMATION OF THE IMPACT OF CLUSTERS OF EXTREME VALUES / Proceedings of the International Workshop in Recent Achievements on the Study of Extreme Events (VW-Workshop, Potsdam, 2010). Potsdam: Potsdam University, 2010. С. 43.