Publication detail

Stabilita a konvergence numerických metod při simulaci extrémních hodnot rozdělení

VOŘECHOVSKÝ, M.

Original Title

Stabilita a konvergence numerických metod při simulaci extrémních hodnot rozdělení

English Title

Stability and convergence of numerical simulation methods for simulation of extreme values

Type

conference paper

Language

Czech

Original Abstract

This study presents numerical assessment of several simulation techniques with focus on their ability to estimate extreme value statistics. Four methods are compared. The main attention is devoted to Latin Hypercube Sampling as a representative of small-sample simulation technique. The effect of correlation control is highlighted. Numerical studies are performed with example of known analytical solution. The studies presents convergence of results with increasing number of simulations so that the immediate result is a hint about optimal choice of this important value.

Key words in English

extreme value theory, Latin Hypercube Sampling, Monte Carlo

Authors

VOŘECHOVSKÝ, M.

RIV year

2004

Released

6. 7. 2004

Publisher

VUT v Brně

Location

Brno

ISBN

80-214-2718-3

Book

PPK 2004 PRAVDĚPODOBNOST PORUŠOVÁNÍ KONSTRUKCÍ

Pages from

77

Pages to

84

Pages count

8

BibTex

@inproceedings{BUT12271,
  author="Miroslav {Vořechovský}",
  title="Stabilita a konvergence numerických metod při simulaci extrémních hodnot rozdělení",
  booktitle="PPK 2004 PRAVDĚPODOBNOST PORUŠOVÁNÍ KONSTRUKCÍ",
  year="2004",
  pages="8",
  publisher="VUT v Brně",
  address="Brno",
  isbn="80-214-2718-3"
}