Computer experiments for the analysis of extreme-value phenomena
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.
scientific article; zbMATH DE number 4028856
scientific article