Extreme Events and Extreme Value Theory (EVT) [26]

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Bullet points include: E.g. Consider a direct fit of a Generalised Pareto distribution. Assuming limiting distribution is the Fr├ęchet distribution (so, exhibits fat tails). Thus use approximation: Problem of estimating F and its (tail) quantiles then reduces to problem of estimating xi and beta for the approximating generalised Pareto distribution. Can be done using maximum likelihood (ML) estimation

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