Extreme Events and Extreme Value Theory (EVT) [30]

Go to: Summary | Previous | Next   
Bullet points include: Left with problem of choosing threshold. Choose so that empirical estimator in tail is reasonably accurate, but without allowing ‘average’ observations from the main body of the distribution to dilute the quality of the excess tail estimator. Effectively, there is a trade-off between bias and variance. Graphical methods commonly used to find ‘optimal’ choice of u

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile