Extreme events - A Summary [5]

Go to: Summary | Previous | Next   
Bullet points include: Usually analysed by splitting distribution (using Sklar’s theorem) between Marginals; and Copula. However Fat-tailed characteristics then difficult to visualise. In this respect, copulas are akin to cumulative distribution function. Many problems depend on a) and b) in tandem. Kemp (2010) proposes a multi-dimensional variant of QQ-plots to circumvent these difficulties

Contents | Prev | Next | Library

Desktop view | Switch to Mobile