Computer experiments for the analysis of extreme-value phenomena (Q1095632)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Computer experiments for the analysis of extreme-value phenomena |
scientific article; zbMATH DE number 4028856
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computer experiments for the analysis of extreme-value phenomena |
scientific article; zbMATH DE number 4028856 |
Statements
Computer experiments for the analysis of extreme-value phenomena (English)
0 references
1987
0 references
The paper deals with the use of computer experiments in the analysis of extreme-value phenomena in cases in which the presence of autocorrelation does not permit analytical approaches. The maximum value of an autoregressive process of order one, a process which is frequently encountered as a model of many natural processes, is investigated. Statistical descriptors of the maximum such as its distribution functions and selected moments are determined and the effects of varying degrees of autocorrelation are quantified. The results obtained show that the presence of autocorrelation among the underlying variates can have a highly significant effect on the maximum value.
0 references
computer experiments
0 references
extreme-value phenomena
0 references
autocorrelation
0 references
autoregressive process
0 references
distribution functions
0 references
moments
0 references
0 references
0 references
0 references
0 references
0 references
