Displaying similar documents to “On extremal dependence of block vectors”

On the extremal behavior of a Pareto process: an alternative for ARMAX modeling

Marta Ferreira (2012)

Kybernetika

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In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick [8], Ferreira and Canto e Castro [13]). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as Yeh-Arnold-Robertson Pareto(III) (Yeh et al. [32]). We shall see that it is quite similar to the...

Several applications of divergence criteria in continuous families

Michel Broniatowski, Igor Vajda (2012)

Kybernetika

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This paper deals with four types of point estimators based on minimization of information-theoretic divergences between hypothetical and empirical distributions. These were introduced (i) by Liese and Vajda [9] and independently Broniatowski and Keziou [3], called here power superdivergence estimators, (ii) by Broniatowski and Keziou [4], called here power subdivergence estimators, (iii) by Basu et al. [2], called here power pseudodistance estimators, and (iv) by Vajda [18] called here...

Chance constrained problems: penalty reformulation and performance of sample approximation technique

Martin Branda (2012)

Kybernetika

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We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosen penalty-type objectives. We show that the two problems are asymptotically equivalent. Simpler cases with one chance constraint and particular penalty functions were studied in [6,11]. The obtained problems with penalties and with a fixed set of feasible solutions are simpler to solve and analyze then the chance constrained programs. We discuss solving...

Stability and contagion measures for spatial extreme value analyzes

Cecília Fonseca, Helena Ferreira, Luísa Pereira, Ana Paula Martins (2014)

Kybernetika

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As part of global climate change an accelerated hydrologic cycle (including an increase in heavy precipitation) is anticipated (Trenberth [20, 21]). So, it is of great importance to be able to quantify high-impact hydrologic relationships, for example, the impact that an extreme precipitation (or temperature) in a location has on a surrounding region. Building on the Multivariate Extreme Value Theory we propose a contagion index and a stability index. The contagion index makes it possible...