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Statistiques des valeurs extrêmes dans le cas de lois discrètes

Author

Listed:
  • Anis Borchani

    (ESSEC Business School - Essec Business School, Ecole Supérieure de la Statistique et de l'Analyse de l'Information - Ensai, Ecole Nationale de la Statistique et de l'Analyse de l'Information)

Abstract

We propose a method to generate a warning system for the early detection of time clusters in discrete time series. Two approaches are developed, one using an approximation of the return period of an extreme event, independently of the nature of the data, the other using an estimation of the return period via standard EVT tools after a smoothing of our discrete data into continuous ones. This method allows us to define a surveillance and prediction system which is applied to finance and public health surveillance.

Suggested Citation

  • Anis Borchani, 2010. "Statistiques des valeurs extrêmes dans le cas de lois discrètes," Post-Print hal-00572559, HAL.
  • Handle: RePEc:hal:journl:hal-00572559
    Note: View the original document on HAL open archive server: https://hal-essec.archives-ouvertes.fr/hal-00572559
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