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Comparison of ACER and POT Methods for estimation of Extreme Values
Norwegian University of Science and Technology, Faculty of Information Technology, Mathematics and Electrical Engineering, Department of Mathematical Sciences.
2010 (English)MasteroppgaveStudent thesis
Abstract [en]
Comparison of the performance of the ACER and POT methods for prediction of extreme values from heavy tailed distributions. To be able to apply the ACER method to heavy tailed data the ACER method was first modified to assume that the underlying extreme value distribution would be a Fréchet distribution, not a Gumbel distribution as assumed earlier. These two methods have then been tested with a wide range of synthetic and real world data sets to compare their preformance in estimation of these extreme values. I have found the ACER method seem to consistently perform better in the terms of accuracy compared to the asymptotic POT method.
Place, publisher, year, edition, pages
Institutt for matematiske fag , 2010. , 59 p.
Keyword [no]
ntnudaim:5527, SIF3 fysikk og matematikk, Industriell matematikk
URN: urn:nbn:no:ntnu:diva-12898Local ID: ntnudaim:5527OAI: diva2:426940
Available from: 2011-06-27 Created: 2011-06-27

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