Risk analysis method by the extreme data of dependent exogenous variables

• Autorzy: Tereshchenko Ihor , Tereshchenko Anton , Bilous Nataliya , Shtangey Svetlana , Warsza Zygmunt L.

Identyfikatory

DOI

10.14313/JAMRIS/3-2021/18

• Języki publikacji: EN

Abstrakty

EN

Many practical tasks of data multivariate statistical analysis from the standpoint of a risk-oriented process approach (in accordance with ISO 9001: 2015, 31000: 2018) requires the definition of the risk values for the dependent exogenous variables of some processes. This paper proposes the method, which consist of original stages sequence for calculating value-at-risk (VaR) or conditional-value-at-risk (CVaR) of dependent exogenous variables, presented of the extreme data frame of critical manufacture process parameters or other parameters, for example, extreme data of environmental monitoring and etc. Risk analysis method by the extreme data of dependent exogenous variables, presented of the data matrix, uses the result of solving the formalized problem of defines the tails parameters of the joint distributions of exogenous variables as components of a bivariate random variable. It can be argued that the tails parameters of the joint distributions of dependent exogenous variables make the validated corrections of the VaR and CVaR estimates for such variables. This method expands the practical application of extreme value theory for the value at risk analysis of any dependent variables as process parameters.

Słowa kluczowe

EN

exogenous variable; risk-oriented process approach; extreme value theory; tailed distribution

• Wydawca: Łukasiewicz Industrial Research Institute for Automation and Measurements PIAP
• Czasopismo: Journal of Automation Mobile Robotics and Intelligent Systems
• Rocznik: 2021
• Tom: Vol. 15, No. 3
• Strony: 44--53
• Opis fizyczny: Bibliogr. 41 poz., rys.

Twórcy

autor

Tereshchenko Ihor

• Infocommunication Engineering Department, Kharkiv National University of Radio Electronics, Kharkiv, 61166, Ukraine

autor

Tereshchenko Anton

• Management of Information and Cyber Security Department, State University of Telecommunications, Kyiv, 03680, Ukraine

autor

Bilous Nataliya

• Software Engineering Department, Kharkiv National University of Radio Electronics, Kharkiv, 61166, Ukraine

autor

Shtangey Svetlana

• Infocommunication Engineering Department, Kharkiv National University of Radio Electronics, Kharkiv, 61166, Ukraine

autor

Warsza Zygmunt L.

• Łukasiewicz Research Network – Industrial Research Institute for Automation and Measurements PIAP

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