Extreme value theory
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 Extreme value theory is used to model the risk of extreme, rare events, such as the 1755 Lisbon earthquake. |
Extreme value theory or extreme value analysis (EVA) is a branch of statistics dealing with the extreme deviations from the median of probability distributions. It seeks to assess, from a given ordered sample of a given random variable, the probability of events that are more extreme than any observed prior. Extreme value analysis is widely used in many disciplines, ranging from structural engineering, finance, earth sciences, traffic prediction, geological engineering, etc. For example, EVA might be used in the field of hydrology to estimate the value an unusually large flooding event, such as the 100-year flood. Similarly, for the design of a breakwater, a coastal engineer would seek to estimate the 50-year wave and design the structure accordingly.
- See also: Wikipedia
- Related: Pareto distribution, Large deviation theory, Weibull distribution, Extreme risk, Extreme weather
| Extreme Value Theory can save your neck Easy non-m... Extreme Value Theory can save your neck Easy non-mathematical introduction (pdf) www.approximity.com/papers/evt_wp.pdf - Web |
| Steps in Applying Extreme Value Theory to Finance:... Steps in Applying Extreme Value Theory to Finance: A Review www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-20.pdf - Web |
| Les valeurs extrêmes des distributions statistique... Les valeurs extrêmes des distributions statistiques Full-text access to conferences held by E. J. Gumbel in 1933–34, in French (pdf) www.numdam.org/item?id=AIHP_1935__5_2_115_0 - Web |
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