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5 shape05 fmax apply fmax 2 max finitetrue narmtrue

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Unformatted text preview: FD", col="blue") Background on Extreme Value Analysis (EVA) Simulations # Simulate maxima from samples of size 30 from # the Unif(0,1) distribution. Umax <- matrix( NA, 30, 1000) for( i in 1:1000) Umax[,i] < − runif( 30) Umax < − apply( Umax, 2, max) hist( Umax, breaks="FD", col="blue") # Simulate 1000 maxima from samples of size 30 from # the Fréchet distribution. Fmax < − matrix( NA, 30, 1000) for( i in 1:1000) Fmax[,i] < − rgev( 30, loc=2, scale=2.5, shape=0.5) Fmax < − apply( Fmax, 2, max, finite=TRUE, na.rm=TRUE) hist( Fmax, breaks="FD", col="blue") Background on Extreme Value Analysis (EVA) Simulations Last one # Simulate 1000 maxima from samples of size 30 from # the exponential distribution. Emax <- matrix( NA, 30, 1000) for( i in 1:1000) Emax[,i] <- rexp( 30) Emax <- apply( Emax, 2, max) # This time, compare with samples from the # exponential distribution. par( mfrow=c(1,2)) hist( Emax, breaks="FD", col="blue") hist( rexp(1000), breaks="FD", col="blue") Background on Extreme Value Analysis (EVA) Extremal Types Theorem Let X1, . . . , Xn be a sequence of independent and identically distributed (iid) random variables with common distribution function, F . Want to know the distribution of Mn = max{X1, . . . , Xn}. Example: X1, . . . , Xn could represent hourly precipitation, daily ozone concentrations, daily average temperature, etc. Interest for now is in maxima of these processes over particular blocks of time. Background on Extreme Value Analysis (EVA) Extremal Types Theorem If interest is in the minimum over blocks of data (e.g., monthly minimum temperature), then note that min{X1, . . . , Xn} = − max{−X1, . . . , −Xn} Therefore, we can focus on the maxima. Background on Extreme Value Analysis (EVA) Extremal Types Theorem Could try to derive the distribution for Mn exactly for all n as follows. Pr{Mn ≤ z } = indep. = Pr{X1 ≤ z, . . . , Xn ≤ z } Pr{X1 ≤ z } × · · · × Pr{Xn z } ident. dist. = {F (z )}n. Background on Extreme Value Analysis (EVA) Extremal Types Theorem Could try to derive the distribution for Mn exactly for all n as follows. Pr{Mn ≤ z } = indep. = Pr{X1 ≤ z, . . . , Xn ≤ z } Pr{X1 ≤ z } × · · · × Pr{Xn ≤ z } ident. dist. = {F (z )}n. But! If F is not known, this is not very helpful because small discrepancies in the estimate of F can lead to large discrepancies for F n. Background on Extreme Value Analysis (EVA) Extremal Types Theorem Could try to derive the distribution for Mn exactly for all n as follows. Pr{Mn ≤ z } = indep. = Pr{X1 ≤ z, . . . , Xn ≤ z } Pr{X1 ≤ z } × · · · × Pr{Xn ≤ z } ident. dist. = {F (z )}n. But! If F is not known, this is not very helpful because small discrepancies in the estimate of F can lead to large discrepancies for F n. Need another strategy! Background on Extreme Value Analysis (EVA) Extremal Types Theorem If there exist sequences of constants {an > 0} and {bn} such that Mn − bn Pr ≤z an −→ G(z ) as n −→ ∞, where G is a non-degenerate distribution function, then G belon...
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This note was uploaded on 01/26/2014 for the course STOR 890 taught by Professor Staff during the Spring '08 term at UNC.

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