A carregar...
Publicação
Modelling (and forecasting) extremes in time series: A naive approach
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 299.02 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
In Extreme Value Theory, we are essentially interested
in the estimation of quantities related to extreme events. Whenever
the focus is in large values, estimation is usually performed based on
the largest k order statistics in the sample or on the excesses over
a high level u. Here we are interested in modelling (and forecast-
ing) extremes in time series. For modelling and forecasting classical
time series, Boot.EXPOS is a computational procedure built in the R
environment that has revealed to perform quite well in a large
number of forecasting competitions. However, to deal with extreme
values, a modification of that algorithm needs to be considered and
is here under study
Descrição
Palavras-chave
extreme value theory extremal index estimation re-sampling procedures; time series