极端值的聚类:估计和应用.
1Centro de Matemática, Universidade do Minho, Braga, Portugal.
概括
极端价值理论 (EVT) 有助于评估极端事件带来的风险. 这项研究通过比较自动估计方法来完善极端指数,这是极端价值聚类的EVT关键指标.
科学领域:
- 极端价值理论 (EVT) 是一种极端价值理论.
- 统计建模 统计建模
- 风险评估 风险评估 风险评估
背景情况:
- 极端价值理论 (EVT) 为金融,气候科学和工程等各个领域的风险推断提供了方法.
- 极端值的聚类显著影响极端现象的风险,如干旱,洪水和市场崩.
- 极端指数量化了极端价值集群,对于理解和管理相关风险至关重要.
研究的目的:
- 重新检查和比较现有的极端指数估计器.
- 应用和评估自动值和集群参数选择方法.
- 评估不同极端指数估计技术的性能.
主要方法:
- 审查已建立的极端指数估计方法.
- 实施用于值选择的自动化方法.
- 应用自动化技术用于集群参数识别.
- 对估计器性能进行比较分析.
主要成果:
- 确定值和聚类参数选择的最佳自动方法.
- 在不同的条件下对各种极端指数估计器的性能进行比较.
- 使用气象数据演示实际应用.
结论:
- 自动化方法提高了极端指数估计的可靠性.
- 该研究为选择合适的EVT方法提供了一个比较框架.
- 这些发现适用于气象学等领域的真实风险评估.
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