Extreme Value Theory: GEV and GPD

In course

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Description

This lecture covers Extreme Value Theory, focusing on Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD). It explains the connection between GEV and GPD, the Block Maxima Method, Maximum Likelihood Estimation, and the POT Model for threshold exceedances.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_c2zwhp1y

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Data analysis: Survival analysis

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