Extreme Value Theory
Extreme value theory in emerging markets
... with extreme variations of worldwide stock market indexes ...of extreme value theory as an important methodological tool for securitization of risk and alternative risk ...the extreme ...
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A utilização da teoria de valores extremos na área financeira: um estudo de caso / Using the extreme value theory in the financial area: a case study
... The Extreme Values Theory (EVT) was used to model the series ...study extreme losses events, contributing to the improvement of risk management and avoiding additional ...
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An application of extreme value theory in medical sciences
... In this chapter we propose more robust models of extremes for the values of blood pressure in elderly individuals (>=55) who suffer from isolated systolic hypertension. There are several reasons behind our interest in ...
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An application of value at risk and expected shortfall
... under extreme market ...the Extreme Value Theory (EVT), since it has the ability to accurately estimate probability and quantile at the extremes of the sample as well as outside ...of ...
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Inferences on weather extremes and weather-related disasters: a review of statistical methods
... time, extreme value theory with a time-varying location pa- rameter and, last not but least, some form of expert judgment (drawing a trend “by ...
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Risk assessment in airlines stocks market
... using Value-at-Risk (VaR) ...using extreme value theory (EVT) became an important approach due to the possibility of capturing with precision the outer limits of the ...
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Trend analysis of extreme precipitation in the Northwestern Highlands of Ethiopia with a case study of Debre Markos
... variables. Extreme value theory has evolved into a proliferating field in statis- tics, motivated by numerous environmental ...(2004). Extreme precipitation has been an important application ...
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Rev. bras. meteorol. vol.29 número1
... the extreme value theory to model agricultural drought, considering the maximum number of consecutive days with precipitation below 7 mm for the period between January and February, in the main ...
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J. Braz. Soc. Mech. Sci. & Eng. vol.34 número especial 2
... probability theory and statistics, the GEV distribution is a family of continuous probability distributions developed under the extreme value theory in order to combine the Gumbel, Fréchet and ...
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Analyzing the Gaver - Lewis Pareto Process under an Extremal Perspective
... others. Extreme value theory plays an important methodological role in risk management by providing appropriate instruments to deal with values as large as or even higher than those ever ...risk ...
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PRECIPITATION INDICES TRENDS AND CORRELATIONS AT A RAINGAUGE STATION IN PORTUGAL
... tation days and length of wet or dry spells. In fact, the trend observed in CLIVAR indices in March is also observed in SPI-1, being the majority of the CLIVAR indices strongly correlated to SPI (Table 8). The trend ...
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A Partially Reduced Bias Class of Value-at-Risk Estimators
... suitable choice of the tuning parameters p and k, provided by an algorithm like for instance the bootstrap algorithm of the type devised for an RB EVI-estimation in Gomes et al. (2012), among others, or heuristic ...
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Technical Note: The normal quantile transformation and its application in a flood forecasting system
... to extreme values, which are rarely observed in the historical samples due to the lim- ited amount of available data, different parametric and non- parametric approaches have been tested in this ...
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Inferences on weather extremes and weather-related disasters: a review of statistical methods
... for PDF choices we found that often more than one PDF shape fits to the same data. From a simulation study we conclude that both the generalized extreme value (GEV) distribution and the log-normal PDF fit ...
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A ROADMAP FOR A COMPUTATIONAL THEORY OF THE VALUE OF INFORMATION IN ORIGIN OF LIFE QUESTIONS
... a theory would give us an appreciation of why proteins and nucleotides evolved as the substrate of computation and information processing in living systems that we see on ...
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Changes in runoff time series in Thuringia, Germany – Mann-Kendall trend test and extreme value analysis
... To account for the uncertainty of extreme value analy- sis from different distributions, several analyses were per- formed. First, flood quantiles of annual maximum flow are compared to the database of the ...
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Climatic extremes in Serbia: Definitions, types and classification
... of extreme climatic events in Serbia. Altogether 31 extreme climatic events have been singled out and defined here and all of them have been classified into five categories according to their level of ...
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REAd. Rev. eletrôn. adm. (Porto Alegre) vol.21 número3
... Even with the existence of studies to confront different risk models for gold, there is no consensus about what is the best approach or even a performance rank of these models in extreme situations. It is exactly ...
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Flight and Nutritional Status of Sylvatic Triatoma sordida and Triatoma guasayana
... mean value of weight according to the capture method (light trapping vs natural ...an extreme value allowing flight, the majority of in- sects collected from natural ecotopes would ...
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J. Braz. Soc. Mech. Sci. & Eng. vol.33 número4
... the theory behind the solution of differential equations using Taylor-series expansions, Runge-Kutta methods and other semi-analytic methods, there has been a limited use and reporting of direct employment of ...
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