Date of Graduation
Master of Science in Mathematics
extreme value theory, threshold, point process, stationary, non-stationary
In this thesis, we introduce asymptotic distribution and statistical theories of extreme values (maximum or minimum) of sequences of random variables. These sequences of random variables are assumed to be independent and identically distributed, stationary o non-stationary, respectively. We apply extreme value theories to the first difference stationary time series to model the maximum values. An example of lake level data, daily recorded across more than thirty years, is considered.
© Li Zhang
Zhang, Li, "Extreme Values of Random Sequences" (2011). MSU Graduate Theses. 1637.