Lecture
Extreme Value Theory: Limiting Distributions and Applications
In course
DEMO: reprehenderit magna est dolor
Dolore ex veniam in adipisicing incididunt excepteur. Tempor anim dolore sit culpa commodo aliquip proident sit voluptate amet. Enim dolor cupidatat excepteur dolore tempor id consectetur et qui anim Lorem anim. Do eu culpa do nostrud mollit consequat. Sunt ex occaecat enim mollit aliquip dolore exercitation cillum tempor mollit ut ea voluptate proident. Velit eiusmod Lorem voluptate labore adipisicing adipisicing excepteur ut. Consequat dolore duis minim do dolore sit magna.
Description
This lecture covers Extreme Value Theory, focusing on the limiting distribution of normalized maxima, GEV distribution, block-maxima method, GPD, and threshold exceedances. It explains the concepts of maxima, limiting distributions of sums, and the Fisher-Tippett-Gnedenko Theorem. The lecture also delves into Generalized Extreme Value (GEV) Distributions, GEV distribution functions, and GEV density functions. Additionally, it discusses the Fréchet and Gumbel cases, the Pickands-Balkema-de Haan Theorem, and the modelling of excess losses using the GPD. The lecture concludes with topics like the sample mean excess plot, threshold selection trade-off, and estimated tail distribution.
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.