Extreme Value Analysis : an Introduction

Abstract : We provide an overview of the probability and statistical tools underlying the extreme value theory, which aims to predict occurrence of rare events. Firstly, we explain that the asymptotic distribution of extreme values belongs, in some sense, to the family of the generalised extreme value distributions which depend on a real parameter, called the extreme value index. Secondly, we discuss statistical tail estimation methods based on estimators of the extreme value index.
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Submitted on : Thursday, December 12, 2013 - 5:19:05 PM
Last modification on : Wednesday, July 24, 2019 - 11:48:02 PM

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Myriam Charras-Garrido, Pascal Lezaud. Extreme Value Analysis : an Introduction. Journal de la Société Française de Statistique, Société Française de Statistique et Société Mathématique de France, 2013, 154 (2), pp 66-97. ⟨hal-00917995⟩

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