All Questions
Tagged with extreme-value time-series
20 questions
0
votes
0
answers
17
views
Declustering impact, stationarity and discretization
I have a seasonal time series, and I am considering declustering (before any other preprocessing steps) it using runs declustering. If I observe an extremal index of 1, can I claim that my data is i.i....
- 1
2
votes
1
answer
248
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Extreme value theory for detrended series
I'm reading "An Introduction to Statistical Modeling of Extreme Values" by Stuart Coles, and using the pyextremes package for exploring the data which is time to return (in days). After ...
- 21
2
votes
1
answer
259
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Distribution/estimation of maximum change of a stationary time series
Any help on this would be much appreciated.
Let $x_{t} = b x_{t-1} + u_{t}$, where $u_{t} \sim N(0,1)$ and $\lvert{b}\rvert < 1$.
What can we say about the distribution of $y_{t} = \max(x_{t+2},x_{...
- 21
4
votes
1
answer
2k
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Live peak / trough detection (data provided)
At the bottom of this question is the data of three time series in CSV-format. All are of same length and they all contain measurements of the same event "A". But each time series is using a ...
- 91
0
votes
1
answer
156
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extreme event time series R
I'm new into time series and was wondering if there is some implementation in R for decomposing a time series into 'trend', 'extreme value', 'cyclical' and' error'.
I'm dealing with yearly weather ...
- 1
3
votes
1
answer
120
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(Non-limit) distribution of maxima from different univariate, discrete and stationary time series
Motivation: I'm currently studying the convergence of maxima from simulated time series to max-stable distributions, and in order to do so, I want to better understand the penultimate distribution of ...
- 85
0
votes
1
answer
104
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Identify dependent or independent blocks of time series (clusters)
maybe I am lost in translation but I need your help.
Description: Having long time series of two variables I create some blocks (or clusters) with the method of peak over threshold but I need to ...
- 1
5
votes
1
answer
508
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Maximum Likeilhood estimate of shape parameter of GPD is negative, even though exceedances are positively skewed
I am looking at fitting a Generalized Pareto Distribution (GPD) to extreme events which exceed a certain value threshold for Bilbao waves data.
Selecting threshold at c=7.5, resulting in 154 ...
- 51
4
votes
0
answers
66
views
Brownian bridge to unknown via extremum
Suppose, I know what's the minimum $\min$ of a random walk $w_t$ in period $[0,\Delta t]$. I also know $w_0$ and $\sigma$. How to construct the Brownian bridge for the latter period?
I guess it's not ...
- 62.3k
1
vote
1
answer
335
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How to find coefficient that will minimize the distance between few times series
I have 3 time series X1, X2, X3.
I want to find the coefficient (c1, c2) that will minimize the distance between them as follow:
$$MIN\sum\sqrt{(X1-(c1*X2+c2*X3))^2}$$
The constrains are:
$$-1< ...
- 251
5
votes
2
answers
985
views
Automatic threshold selection for POT analysis
I have got > 100 river daily flow time series and I need to select a threshold for each of them in order to perform a Peak Over Threshold extreme value analysis.
I know that I can select a threshold ...
- 344
1
vote
0
answers
275
views
Confidence interval for maximum value in velocity time series
I have a time series of velocity values, which is structured into two periods. The first period describes the baseline velocity ("pre"). At the beginning of the second period ("post"), a stimulus is ...
- 11
1
vote
1
answer
43
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What statistic to use to measure effectiveness of treatment on fluctuating process
I have a process $R$ that normally does something like a random walk between 0 and 1. I have a set of treatments. I believe that some of the treatments will bias the process $R$ in such a way that, ...
- 1,108
2
votes
1
answer
130
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Asymptotic distribution of a recursive statistic
I have a (time series related) test statistic which is asymptotically normal. I would like to know what is the asymptotic distribution of its maximal value obtained by a recursive estimation.
For ...
- 23
4
votes
3
answers
42k
views
What's the minimum sample size required to do a time series analysis?
I'd like to know the minimum number of monthly data points required to do time series analysis with the seasonality effect in forecasting.
I read some articles & they were saying that 50 or 60 ...
- 65
2
votes
1
answer
266
views
Lévy stable vs. extreme value distributions
I'm trying to understand the advantages (if any) of employing the Generalized Extreme Value distribution (GEV) vs. a stable distribution in the context of understanding the probability of crossing a ...
- 958
2
votes
1
answer
937
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Fitting a probability distribution to non i.i.d. data? [closed]
I have temperature time series data that I have determined is not independently and identically distributed (from looking at the autocorrelation plots and Ljung-Box tests).
However, I am still able ...
- 21
1
vote
1
answer
5k
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Fitting GEV to non-stationary time series of extremes (general stationarity question?)
I'm fitting the generalized extreme value distribution (GEV) to a series of annual maxima of variable $X$. $X$ exhibits a linear trend.
When I fit the GEV to $X$, I think I have the choice to
Use ...
- 958
2
votes
1
answer
185
views
Meaning of return period on extreme events
If the distribution of the periods between an extreme event to another is a power law (as for example can be the return period of extreme earthquakes or flooding), the existence of the mean value is ...
- 2,098
10
votes
2
answers
11k
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How to find when a graph reaches a peak and plateaus?
This may sound very basic, but I have this problem:
I've got a queue of data with a window size of 300. New data is added at one end, old values are removed from the other end.
I expect the queue ...
- 203