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.Full text not available from this repository.
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.
|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|
|Deposited On:||20 Nov 2008 14:06|
|Last Modified:||26 Jul 2012 15:28|
Actions (login required)