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Lecture
Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
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.