Analysis of extreme events [17]

Go to: Summary | Previous | Next   
Bullet points include: Is explained in the Course booklet Select a suitable distributional form (i.e. family of distribution) Select particular member of family that provides the closest fit in the tail E.g. to cumulative distribution function Or to quantile-quantile plot Closest fit defined according to (tail) weighted least squares Results are surprisingly (?) close to traditional methods if fitting a Normal distribution and equally weight across entire distributional form rather than just in the tail of the distribution

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile