Tag: extreme-value-theory
Concepts
- Block Maxima and the GEV Distribution
- Extreme Value Theory for Tail Risk
- Extreme Value Theory
- The Generalized Pareto Distribution and Peaks Over Threshold
- The Gumbel Distribution
- The Hill Estimator and Tail Index
- The Hill Estimator for the Tail Index
- The Hill Estimator and the Tail Index
- Mean Excess Plots and Tail Diagnostics
- Peaks Over Threshold and the Generalized Pareto Distribution
- Peaks Over Threshold and the Generalised Pareto Distribution
- The Poisson Clumping Heuristic