Analysis of extreme events [24]

Go to: Summary | Previous | Next   
Bullet points include: EVT seems very helpful Characterises limiting distributions very succinctly But requires regularity conditions that may not be satisfied Relies on existence of a limiting distribution but this is not guaranteed At issue is potential unreliability of extrapolation E.g. Press et al. (2007)

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile