Abstract
In extreme value analysis one is interested in parametric models for the distribution of maxima and exceedances. Suitable models are obtained by using limiting distributions. In the following lines, we cite some basic results from extreme value theory. The reader is referred to (Embrechts, Kliippelberg and Mikosch, 1997) and (Resnick, 1987) for a theoretical and to (Reiss and Thomas, 1997) for an applied introduction. A more detailed review is given in (McNeil, 1997).
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Kleinow, T., Thomas, M. (2000). Computational Resources for Extremes. In: Franke, J., Stahl, G., Härdle, W. (eds) Measuring Risk in Complex Stochastic Systems. Lecture Notes in Statistics, vol 147. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1214-0_13
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DOI: https://doi.org/10.1007/978-1-4612-1214-0_13
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