Analysis of extreme events [25]

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Bullet points include: We have assumed limiting distribution of tail is fat-tailed GPD Thus use approximation: Problem of estimating F and its (tail) quantiles then reduces to problem of estimating for the approximating generalised Pareto distribution Can be done using mean excess functions, maximum likelihood (ML) estimation, method of moments etc.But equally we could fit to the relevant part of the QQ-plot using any other reasonable curve fitting approach E.g. polynomial curve fit such as a cubic, as long as the resulting extrapolation is credible What are the disadvantages of a cubic?

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