Extreme Value Theory (EVT)

EVT and alternatives [13]

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Bullet points include: value of xi=1/alpha. GEV sub-type. (cumulative) distribution function. xi=0 Gumbel exp(-exp(-x)) for -infinity<x<infinity. xi>0. Fréchet. exp(-(1+xi times x)^(-1/xi) ) for 1+xi times x>0, otherwise 0. xi<0. Weibull. exp(-(1-xi times x)^(1/xi) )for 1-xi times x>0, otherwise 1

Bullet points include: value of xi=1/alpha. GEV sub-type. (cumulative) distribution function. xi=0 Gumbel exp(-exp(-x)) for -infinity<x<infinity. xi>0. Fréchet. exp(-(1+xi times x)^(-1/xi) ) for 1+xi times x>0, otherwise 0. xi<0. Weibull. exp(-(1-xi times x)^(1/xi) )for 1-xi times x>0, otherwise 1

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