Computer experiments for the analysis of extreme-value phenomena

DOI10.1016/0096-3003(87)90022-1MaRDI QIDQ1095632zbMATH OpenOpenAlexFDO

Authors B. George

Publication date 1987

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0096-3003(87)90022-1

zbMATH Keywords

autocorrelationautoregressive processcomputer experimentsdistribution functionsextreme-value phenomenamoments

Mathematics Subject Classification ID

General nonlinear regression (62J02) Probabilistic methods, stochastic differential equations (65C99) Numerical mathematical programming methods (65K05)

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.

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Cited in

(3)

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