RISKS ESTIMATION METHOD BY CLUSTERED EXTREME DATA OF PROCESS COVARIATES
DOI:
https://doi.org/10.15588/1607-3274-2020-2-6Keywords:
Extreme value theory, generalized extreme value distribution, generalized Pareto distributions, value at risk, extreme value index, cluster analysis, process approach.Abstract
Context. This paper presents a method for solving the problem of detecting and taking into account the influence of various (external and/or internal) factors on extreme and risky values of the multivariate observed parameters (covariates) of technological and/or diagnostic processes. Taking into account external and internal influence factors on covariates, by analogy with critical process parameters, is a significant addition to the extreme values statistics and the estimations the influence of the variability of process’s covariates on the expected losses, i.e. value at risk. Risk-oriented analysis is an actual tool for the data behavior investigation of the multivariate observations of process’s parameters.
Objective. To disclose a method for detecting and taking into account the factors influence on the distribution functions parameters of the observed extreme values of process’s covariates and determine the influence of these distribution functions parameters on estimates of risks values.
Method. The method consistently uses: the procedures of multivariate statistical cluster analysis, transformation the matrix of observed extreme values of process’s covariates into data frame with factor variables, estimation the extremal index and distribution functions parameters of nonclustered and clustered the observed extreme data of covariates and estimation the risk values on the calculated values of distribution functions parameters. The proposed sequence of actions is aimed at implementing the information technology of statistical causal analysis of the influence of factors on the variability of process’s covariates and their risk values due to the application of the clustering procedure for observed multivariate extreme values of covariates. The method is implementing the R-language packages software.
Results. Clustering of the multivariate observed extreme values of process’s covariates allows to identifying the influence of environmental (manufacturing) factors and estimates the covariates’ risky values taking into account of this influence.
Conclusions. The method is an information technology of statistical causal analysis of factors influence on the variability of process’s covariates and theirs risk values due to the application of the clustering procedure of covariates’ multivariate values. The prospect of further research is to improve the methods of causal multivariate statistical analysis of the various factors influence on the exogenous and endogenous parameters of manufacturing and other processes in order to reduce the variability of these parameters and, as a result, minimize the risks.
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