Smid, Xander (2021) Extreme value statistics of dependent and independent sequences. Bachelor's Thesis, Mathematics.
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Abstract
This thesis will be about the branch of mathematics known as extreme value statistics. The partial maximum of sequences of random variables will be considered and the generalized extreme value theorem will be used to study the nature of extreme values of such sequences of random variables. Sequences of independent and dependent random variables will be considered. The sequences of dependent random variables will be generated using certain iterative maps which have some interesting properties. The statistics of the extreme values of dependent sequences will be compared to the statistics of the extreme values of independent sequences. It will be investigated how the statistics of the extreme values of the dependent sequence depend on the way in which the sequence is generated. The block maximum method will be used to study the statistics of extreme values. It will be investigated in which cases the results of the block maximum method converge to the correct value and in some cases this exact value will be calculated analytically.
| Item Type: | Thesis (Bachelor's Thesis) |
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| Supervisor name: | Sterk, A.E. |
| Degree programme: | Mathematics |
| Thesis type: | Bachelor's Thesis |
| Language: | English |
| Date Deposited: | 12 Nov 2021 12:41 |
| Last Modified: | 12 Nov 2021 12:41 |
| URI: | https://fse.studenttheses.ub.rug.nl/id/eprint/26275 |
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