Trend Analysis of Extreme Values

被引：0
|
作者：
Dierckx, Goedele [1 ,2 ,3 ]
Teugels, Jef [2 ,3 ]
机构：
[1] Hgsk Univ Brussels, Stormstr 2, B-1000 Brussels, Belgium
[2] Katholieke Univ Leuven, Dept Math, B-3001 Heverlee, Belgium
[3] Katholieke Univ Leuven, Leuven Stat Res Ctr LStat, B-3001 Heverlee, Belgium
来源：
PROBABILITY APPROXIMATIONS AND BEYOND | 2012年 / 205卷
关键词：
CHANGE-POINT;
D O I：
10.1007/978-1-4614-1966-2_7
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In Dierckx and Teugels (Environmetrics 2:1-26) we concentrated on testing whether an instantaneous change occurs in the value of the extreme value index. This short article illustrates with an explicit example that in some cases the extreme value index seems to change gradually rather than instantaneously. To this end a moving Hill estimator is introduced. Further a change point analysis and a trend analysis are performed. With this last analysis it is investigated whether a linear trend appears in the extreme value index.
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页码：101 / +
页数：2
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