Computer experiments for the analysis of extreme-value phenomena
type: Item
instance of: scholarly article
title: Computer experiments for the analysis of extreme-value phenomena
zbMATH Open document ID: 0632.65150
DOI: 10.1016/0096-3003(87)90022-1
author: B. George
published in: Applied Mathematics and Computation
publication date: 1987-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 62J02
zbMATH DE Number: 4028856
zbMATH Keywords: computer experiments
zbMATH Keywords: extreme-value phenomena
zbMATH Keywords: autocorrelation
zbMATH Keywords: autoregressive process
zbMATH Keywords: distribution functions
zbMATH Keywords: moments
reviewed by: Viorel Arnăutu
MaRDI profile type: Publication
full work available at URL: 0096-3003(87)90022-1
OpenAlex ID: W2073987085
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description: scientific article; zbMATH DE number 4028856