Parameter Estimation in Extreme Value Models with Markov Chain Monte Carlo Methods
In this thesis I have studied how to estimate parameters in an extreme value model with Markov Chain Monte Carlo (MCMC) given a data set. This is done with synthetic Gaussian time series generated by spectral densities, called spectrums, with a "box" shape. Three different spectrums have b...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag
2010
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-10032 |