Cluster based inference for extremes of time series

نویسندگان

چکیده

We introduce a new type of estimator for the spectral tail process regularly varying time series. The approach is based on characterizing invariance property process, which incorporated into via projection technique. show uniform asymptotic normality this estimator, both in case known and unknown index regular variation. In simulation study procedure shows more stable performance than previously proposed estimators.

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Interpolating time series based on fuzzy cluster analysis problem

This study proposes the model for interpolating time series to use them  to forecast effectively for future. This model is established based on the improved fuzzy clustering analysis problem, which is implemented by the Matlab procedure. The proposed model is illustrated by a data set and tested for many other datasets, especially for 3003 series in  M3-Competition data. Comparing  to the exist...

متن کامل

Modelling Time Series Extremes

• The need to model rare events of univariate time series has led to many recent advances in theory and methods. In this paper, we review telegraphically the literature on extremes of dependent time series and list some remaining challenges. Key-Words: • Bayesian statistics; Box–Cox transformation; clustering; dependence; extremal index; extremogram; generalized extreme-value distribution; gene...

متن کامل

Time Series Representation for Identification of Extremes

Extracting information from the huge time series is a challenging task. Databases are prepared by keeping in mind the type of information required. Indexing a time series is a difficult task, where shape may not be exact. Finding the minima and maxima of the time series is another difficult job dependent on the expert’s subjectivity. In this information age algorithmic trading is the buzz word....

متن کامل

a time-series analysis of the demand for life insurance in iran

با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند

Inference for Stereological Extremes

In the production of clean steels the occurrence of imperfections — so-called inclusions — is unavoidable. Furthermore, the strength of a clean steel block is largely dependent on the size of the largest imperfection it contains, so inference on extreme inclusion size forms an important part of quality control. Sampling is generally done by measuring imperfections on planar slices, leading to a...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Stochastic Processes and their Applications

سال: 2021

ISSN: ['1879-209X', '0304-4149']

DOI: https://doi.org/10.1016/j.spa.2021.07.012