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The extremal analysis of processes sampled at different frequencies.

Robinson, M. E. and Tawn, J. A. (2000) The extremal analysis of processes sampled at different frequencies. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 62 (1). pp. 117-135. ISSN 1369-7412

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Abstract

The observed extremes of a discrete time process depend on the process itself and the sampling frequency. We develop theoretical results which show how to account for the effect of sampling frequency on extreme values, thus enabling us to analyse systematically extremal data from series with different sampling rates. We present statistical methodology based on these results which we illustrate though simulations and by applications to sea-waves and rainfall data.

Item Type: Article
Journal or Publication Title: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Uncontrolled Keywords: Extremal index • Extreme value theory • Generalized extreme value distribution • Rainfall • Sampling frequency • Waves
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 19368
Deposited By: ep_ss_importer
Deposited On: 20 Nov 2008 14:06
Refereed?: Yes
Published?: Published
Last Modified: 23 Oct 2014 15:58
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/19368

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